Related papers: The Natural Banach Space for Version Independent R…

We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement…

This paper exemplifies that saturation is an indispensable structure on measure spaces to obtain the existence and characterization of solutions to nonconvex variational problems with integral constraints in Banach spaces and their dual…

This paper presents approximate confidence intervals for each function of parameters in a Banach space based on a bootstrap algorithm. We apply kernel density approach to estimate the persistence landscape. In addition, we evaluate the…

In this paper we consider variational regularization methods for inverse problems with large noise that is in general unbounded in the image space of the forward operator. We introduce a Banach space setting that allows to define a…

By means of the techniques of Boolean valued analysis, we provide a transfer principle between duality theory of classical convex risk measures and duality theory of conditional risk measures. Namely, a conditional risk measure can be…

Artificial intelligence risks are multidimensional in nature, as the same risk scenarios may have legal, operational, and financial risk dimensions. With the emergence of new AI regulations, the state of the art of artificial intelligence…

In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…

We study risk measures $\varphi:E\longrightarrow\mathbb{R}\cup\{\infty\}$, where $E$ is a vector space of random variables which a priori has no lattice structure$\unicode{x2014}$a blind spot of the existing risk measures literature. In…

In this paper we show the weak Banach-Saks property of the Banach vector space $(L_\mu^p)^m$ generated by $m$ $L_\mu^p$-spaces for $1\leq p<+\infty,$ where $m$ is any given natural number. When $m=1,$ this is the famous Banach-Saks-Szlenk…

In the present paper we investigate some geometrical properties of the norms in Banach function spaces. Particularly there is shown that if exponent $1/p(\cdot)$ belongs to $BLO^{1/\log}$ then for the norm of corresponding variable exponent…

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds…

We study the complexity of Banach space valued integration in the randomized setting. We are concerned with $r$-times continuously differentiable functions on the $d$-dimensional unit cube $Q$, with values in a Banach space $X$, and…

We modify the very well known theory of normed spaces $(E, \norm)$ within functional analysis by considering a sequence $(\norm_n : n\in\N)$ of norms, where $\norm_n$ is defined on the product space $E^n$ for each $n\in\N$. Our theory is…

We give a self-contained treatment of symmetric Banach sequence spaces and some of their natural properties. We are particularly interested in the symmetry of the norm and the existence of symmetric linear functionals. Many of the presented…

Bounds on the risk play a crucial role in statistical learning theory. They usually involve as capacity measure of the model studied the VC dimension or one of its extensions. In classification, such "VC dimensions" exist for models taking…

This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…

In the nonlinear geometry of Banach spaces where the objects in the category are Banach spaces as in the linear case, the morphisms in the new setting are taken to comprise of certain nonlinear maps involving say, Lipschitz maps and, in…

The question is addressed of when a Sobolev type space, built upon a general rearrangement-invariant norm, on an $n$-dimensional domain, is a Banach algebra under pointwise multiplication of functions. A sharp balance condition among the…

When assessing risks on a finite-time horizon, the problem can often be reduced to the study of a random sequence $C(N)=(C_1,\ldots,C_N)$ of random length $N$, where $C(N)$ comes from the product of a matrix $A(N)$ of random size $N \times…

$L\sp{p}$ space is a crucial aspect of classical measure theory. For nonadditive measure, it is known that $L\sp{p}$ space theory holds for the Choquet integral whenever the monotone measure $\mu$ is submodular and continuous from below.…