On random convex analysis -- the analytic foundation of the module approach to conditional risk measures

MaRDI QIDQ6236166FDOQ6236166

Authors: Tiexin Guo, Shien Zhao, Xiao Lin Zeng 

Publication date: 5 October 2012

Abstract: To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of topologies (namely the $(varepsilon,lambda)$--topology and the locally $L^0$-- convex topology). Then, we make use of the advantage of the $(varepsilon,lambda)$--topology and grasp the local property of $L^0$--convex conditional risk measures to prove that every $L^0$--convex $L^p$--conditional risk measure ($1leqpleq+infty$) can be uniquely extended to an $L^0$--convex $L_{mathcalF}^p(mathcalE)$--conditional risk measure and that the dual representation theorem of the former can also be regarded as a special case of that of the latter, which shows that the study of $L^p$--conditional risk measures can be incorporated into that of $L_{mathcalF}^p(mathcalE)$--conditional risk measures. In particular, in the process we find that combining the countable concatenation hull of a set and the local property of conditional risk measures is a very useful analytic skill that may considerably simplify and improve the study of $L^0$--convex conditional risk measures.

Mathematics Subject Classification ID

Utility theory (91B16) Convex functions and convex programs in convex geometry (52A41) Stochastic models in economics (91B70) Theorems of Hahn-Banach type; extension and lifting of functionals and operators (46A22) Normed modules and Banach modules, topological modules (if not placed in 13-XX or 16-XX) (46H25) Random nonlinear operators (47H40) Reflexivity and semi-reflexivity (46A25)

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