Minimax identity with robust utility functional for a nonconcave utility
نویسندگان
چکیده
The minimax identity for a nondecreasing upper-semicontinuous utility function satisfying mild growth assumption is studied. In contrast to the classical setting, concavity of not asumed. By considering concave envelope function, equalities and inequalities between robust functionals an initial its concavification are obtained. Furthermore, similar proved in case implementing upper bound on final endowment model.
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ژورنال
عنوان ژورنال: Modern stochastics: theory and applications
سال: 2022
ISSN: ['2351-6046', '2351-6054']
DOI: https://doi.org/10.15559/22-vmsta215