Related papers: Lipschitz Bernoulli utility functions
The purpose of this investigation is to extend basic equations and inequalities which hold for functions $f$ in a Bernstein space $B_\sigma^2$ to larger spaces by adding a remainder term which involves the distance of $f$ from $B_\sigma^2$.…
We introduce and study spaces of multivariate functions of bounded variation generalizing the classical Jordan and Wiener spaces. Multivariate generalizations of the Jordan space were given by several prominent researchers but each of them…
The main result says that every surjective isometry between two ideal Banach function spaces satisfying certain conditions can be presented as a composition of a measurable transformation of a variable and multiplication by a function.
We propose a non-parametric variant of binary regression, where the hypothesis is regularized to be a Lipschitz function taking a metric space to [0,1] and the loss is logarithmic. This setting presents novel computational and statistical…
This work is motivated by a question published in E. Glasner's paper On a question of Kazhdan and Yom Din regarding the possibility to approximate functionals on a Banach space which are almost invariant with respect to an action of a…
We prove in particular that the Lipschitz-free space over a finitely-dimensional normed space is complemented in its bidual. For Euclidean spaces the norm of the respective projection is $1$. As a tool to obtain the main result we establish…
In this paper, we continue the study of John-Nirenberg theorems for BMO/Lipschitz spaces in the noncommutative martingale setting. As conjectured from the classical case, a desired noncommutative ``stopping time" argument was discovered to…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
We study a new bi-Lipschitz invariant \lambda(M) of a metric space M; its finiteness means that Lipschitz functions on an arbitrary subset of M can be linearly extended to functions on M whose Lipschitz constants are enlarged by a factor…
In this short note, we derive an upper estimate of Clarke's subdifferential of marginal functions in Banach spaces. The structure of the upper estimate is very similar to other results already obtained in the literature. The novelty lies on…
The first three results in this thesis are motivated by a far-reaching conjecture on boundedness of singular Brascamp-Lieb forms. Firstly, we improve over the trivial estimate for their truncations, thus excluding potential trivial…
Chapter 1 deals with the problem of the existence of an upper/lower envelope from a convex cone or, more generally, a convex set for functions on the projective limit of vector lattices with values in the completion of the Kantorovich space…
We study the relation between primariness of Banach spaces and the stronger operator-theoretic notions of the primary factorisation property (PFP) and the uniform primary factorisation property (UPFP). We revisit several classical…
This paper explores some important aspects of the theory of rearrangement-invariant quasi-Banach function spaces. We focus on two main topics. Firstly, we prove an analogue of the Luxemburg representation theorem for rearrangement-invariant…
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan.…
In the article the necessary and sufficient conditions for a representation of Lipschitz function of more than two variables as a difference of two convex functions are formulated. An algorithm of this representation is given. The outcome…
Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative…
The Lipschitz space of an infinite (locally-finite) graph is defined as the set of functions on the vertices of the graph such that the differences of the values between adjacent vertices remain bounded. In this paper we prove that this set…
We prove that intersections and unions of independent random sets in finite spaces achieve a form of Lipschitz continuity. More precisely, given the distribution of a random set $\Xi$, the function mapping any random set distribution to the…
Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…