English

P-Sensitive Functions and Localizations

Probability 2026-01-28 v1 Functional Analysis Optimization and Control Mathematical Finance

Abstract

This paper assumes a robust stochastic model where a set P\mathcal{P} of probability measures replaces the single probability measure of dominated models. We introduce and study P\mathcal{P}-sensitive functions defined on robust function spaces of random variables. We show that P\mathcal{P}-sensitive functions are precisely those that admit a representation via so-called functional localization. The theory is applied to solving robust optimization problems, to convex risk measures, and to the study of no arbitrage in robust one-period financial models.

Keywords

Cite

@article{arxiv.2601.19511,
  title  = {P-Sensitive Functions and Localizations},
  author = {Johannes Langner and Gregor Svindland},
  journal= {arXiv preprint arXiv:2601.19511},
  year   = {2026}
}
R2 v1 2026-07-01T09:22:08.959Z