Dual Representation of Quasi-convex Conditional Maps
نویسندگان
چکیده
منابع مشابه
Dual Representation of Quasi-convex Conditional Maps
We provide a dual representation of quasi-convex maps π : LF → LG , between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions π : LF → R and the dual representation of conditional convex maps π : LF → LG . These results were inspired by the theory of dynamic measurements of risk a...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2011
ISSN: 1945-497X
DOI: 10.1137/09078033x