Related papers: The Natural Banach Space for Version Independent R…
We construct Zachary space in $\R^\infty$ and find that this is a Banach space of functions of bounded mean oscillation with order $p, 1\leq p \leq \infty$ containing the function of bounded mean oscillation $BMO[\R_I^\infty]$ as a dense…
Let $\Bc$ denote the real-valued functions continuous on the extended real line and vanishing at $-\infty$. Let $\Br$ denote the functions that are left continuous, have a right limit at each point and vanish at $-\infty$. Define $\acn$ to…
We introduce Kuelbs-Steadman-type spaces for real-valued functions, with respect to countably additive measures, taking values in Banach spaces. We investigate their main properties and embeddings in $L^p$-type spaces, considering both the…
Convex risk measures play a foundational role in the area of stochastic optimization. However, in contrast to risk neutral models, their applications are still limited due to the lack of efficient solution methods. In particular, the mean…
A meticulous assessment of the risk of impacts associated with extreme wind events is of great necessity for populations, civil authorities as well as the insurance industry. Using the concept of spatial risk measure and related set of…
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: 1.…
We develop a family of infinite-dimensional Banach manifolds of measures on an abstract measurable space, employing charts that are "balanced" between the density and log-density functions. The manifolds, $(\tilde{M}_{\lambda},\lambda\in…
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…
The objective of this paper is to construct separable Banach spaces $S{D^p}[\mathbb{R}^\infty]$ for $1\leq p \leq \infty$, each of which contains the $L^p[\mathbb{R}^\infty] $ spaces, as well as finitely additive measures, as compact dense…
We study the Banach space $D([0,1]^m)$ of functions of several variables that are (in a certain sense) right-continuous with left limits, and extend several results previously known for the standard case $m=1$. We give, for example, a…
In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Associated with every separable Hilbert space $\mathcal{H}$ and a given localized frame, there exists a natural test function Banach space $\mathcal{H}^1$ and a Banach distribution space $\mathcal{H}^{\infty}$ so that $\mathcal{H}^1 \subset…
For a measure space $\Omega$ we extend the theory of Orlicz spaces generated by an even convex integrand $\varphi \colon \Omega \times X \to \left[ 0, \infty \right]$ to the case when the range Banach space $X$ is arbitrary. Besides…
An L-embedded Banach spaace is a Banach space which is complemented in its bidual such that the norm is additive between the two complementary parts. On such spaces we define a topology, called an abstract measure topology, which by known…
We show that the natural scaling of measurement for a particular problem defines the most likely probability distribution of observations taken from that measurement scale. Our approach extends the method of maximum entropy to use…
We introduce a family of Banach spaces of measures, each containing the set of measures with density of bounded variation. These spaces are suitable for the study of weighted transfer operators of piecewise-smooth maps of the interval where…
A Banach space has the Schur property when every weakly convergent sequence converges in norm. We prove a Schur-like property for measures: if a sequence of finite signed Borel measures on a Polish space is such that it is bounded in total…
In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes $X=(X(s))\_{s\in\bR^2}$ and the damage function $\cD\_X^{\nu}= |X|^\nu$ with $0<\nu<1/2$. We study the quantitative behavior of a…