Dual Representation of Quasiconvex Conditional Maps
Risk Management
2010-01-25 v2 Probability
Abstract
We provide a dual representation of quasiconvex maps between two lattices of random variables in terms of conditional expectations. This generalizes the dual representation of quasiconvex real valued functions and the dual representation of conditional convex maps.
Keywords
Cite
@article{arxiv.1001.3644,
title = {Dual Representation of Quasiconvex Conditional Maps},
author = {Marco Frittelli and Marco Maggis},
journal= {arXiv preprint arXiv:1001.3644},
year = {2010}
}
Comments
Date changed Added one remark on assumption (c), page 6