Representation of increasing convex functionals with countably additive measures
From MaRDI portal
Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05) Set functions and measures on topological spaces (regularity of measures, etc.) (28C15) Lattices of continuous, differentiable or analytic functions (46E05) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07)
Abstract: We derive two types of representation results for increasing convex functionals in terms of countably additive measures. The first is a max-representation of functionals defined on spaces of real-valued continuous functions and the second a sup-representation of functionals defined on spaces of real-valued Borel measurable functions. Our assumptions consist of sequential semicontinuity conditions which are easy to verify in different applications.
Recommendations
- Duality for increasing convex functionals with countably many marginal constraints
- scientific article; zbMATH DE number 124636
- The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
- Integral representation of nonconvex functionals defined on measures
- Publication:5753120
Cites work
- A general version of the fundamental theorem of asset pricing
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Automatic Continuity and Openness of Convex Relations
- Computational aspects of robust optimized certainty equivalents and option pricing
- Convex measures of risk and trading constraints
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- scientific article; zbMATH DE number 1807400 (Why is no real title available?)
- scientific article; zbMATH DE number 3137662 (Why is no real title available?)
- scientific article; zbMATH DE number 1321178 (Why is no real title available?)
- scientific article; zbMATH DE number 2046106 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- scientific article; zbMATH DE number 1795843 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3289811 (Why is no real title available?)
- scientific article; zbMATH DE number 3196512 (Why is no real title available?)
- Infinite dimensional analysis. A hitchhiker's guide.
- Martingale optimal transport duality
- Measure theory. Vol. I and II
- On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
- Optimization of Convex Risk Functions
- RISK MEASURES ON ORLICZ HEARTS
- Risk preferences and their robust representation
- Robust expected utility maximization with medial limits
- Robust representation of convex risk measures by probability measures
- Stochastic finance. An introduction in discrete time.
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Uncertainty averse preferences
Cited in
(9)- Sure wins, separating probabilities and the representation of linear functionals
- On characterizations of sup-preserving functionals
- scientific article; zbMATH DE number 4061578 (Why is no real title available?)
- Dual representation of superlinear functionals and its applications in function theory. I
- Representation of quasi-monotone functionals by families of separating hyperplanes
- Convex increasing functionals on $C_b(X)$ spaces
- Monetary utility functions on \(C_b(X)\) spaces
- Lower semicontinuity of monotone functionals in the mixed topology on C_b
- Convex operators and convex integrands
This page was built for publication: Representation of increasing convex functionals with countably additive measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3381901)
