منابع مشابه
Dual Representation of Risk Measures on Orlicz Spaces
The objective of this paper is to present a comprehensive study of dual representations of risk measures and convex functionals defined on an Orlicz space L or an Orlicz heart H. The first part of our study is devoted to the Orlicz pair (L, L). In this setting, we present a thorough analysis of the relationship between order closedness of a convex set C in L and the closedness of C with respect...
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Coherent, convex and monetary risk measures were introduced in a setup where uncertain outcomes are modelled by bounded random variables. In this paper, we study such risk measures on Orlicz hearts. This includes coherent, convex and monetary risk measures on L-spaces for 1 ≤ p < ∞ and covers a wide range of interesting examples. Moreover, it allows for an elegant duality theory. We prove that ...
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Coherent, convex and monetary risk measures were introduced in a setup where uncertain outcomes are modelled by bounded random variables. In this paper, we study such risk measures on maximal subspaces of Orlicz classes. This includes coherent, convex, and monetary risk measures on L-spaces for 1 ≤ p < ∞ and covers a wide range of interesting examples. Moreover, it allows for an elegant duality...
متن کاملConvex Risk Measures for Càdlàg Processes on Orlicz Hearts
Our purpose is to study properties and representations of convex risk measures for possibly unbounded càdlàg processes. As the underlying space on which we define convex risk measures, we consider spaces of càdlàg processes whose supremum belongs to an Orlicz heart. In order to obtain concrete representations for such convex risk measures, we shall investigate representations of continuous line...
متن کاملp-Carleson Measures for a Class of Hardy-Orlicz Spaces
An alternative interpretation of a family of weighted Carleson measures is used to characterize p-Carleson measures for a class of Hardy-Orlicz spaces admitting a nice weak factorization. As an application, we provide with a characterization of symbols of bounded weighted composition operators and Cesàro-type integral operators from these Hardy-Orlicz spaces to some classical holomorphic functi...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2015
ISSN: 0973-9599
DOI: 10.31390/cosa.9.2.02