Dual Representation of Quasi-convex Conditional Maps
نویسندگان
چکیده
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 and are applied in this context.
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ورودعنوان ژورنال:
- SIAM J. Financial Math.
دوره 2 شماره
صفحات -
تاریخ انتشار 2011