相关论文: Random convex analysis (II): continuity and subdif…
Recently, based on the idea of randomizing space theory, random convex analysis has been being developed in order to deal with the corresponding problems in random environments such as analysis of conditional convex risk measures and the…
To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of…
To provide a solid analytic foundation for the module approach to conditional risk measures, our purpose is to establish a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of…
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures. This paper includes eight sections. Section 1 is a longer introduction, which gives a…
This paper constructs a counterexample showing that not every locally $L^0$--convex topology is necessarily induced by a family of $L^0$--seminorms. Random convex analysis is the analytic foundation for $L^0$--convex conditional risk…
Locally $L^0$-convex modules were introduced in [D. Filipovic, M. Kupper, N. Vogelpoth. Separation and duality in locally $L^0$-convex modules. J. Funct. Anal. 256(12), 3996-4029 (2009)] as the analytic basis for the study of conditional…
In 2010, Gordan \v{Z}itkovi\'{c} introduced the notion of convex compactness for a convex subset of a linear topological space and gave some important applications to both nonlinear analysis and mathematical economics in [ Gordan…
Locally $L^0$-convex modules were introduced in [D. Filipovic, M. Kupper, N. Vogelpoth. Separation and duality in locally $L^0$-convex modules. J. Funct. Anal. 256(12), 3996-4029 (2009)] as the analytic basis for the study of multi-period…
Let $(B,\|\cdot\|)$ be a Banach space, $(\Omega,\mathcal{F},P)$ a probability space and $L^0(\mathcal{F},B)$ the set of equivalence classes of strong random elements (or strongly measurable functions) from $(\Omega,\mathcal{F},P)$ to…
For the study of some typical problems in finance and economics, \v{Z}itkovi\'{c} %[G. \v{Z}itkovi\'{c}, Convex compactness and its applications, Math. Finan. Eco., 3(1)(2010) 1--12] introduced convex compactness and gave many remarkable…
The purpose of this paper is to make a comprehensive connection between the basic results and properties derived from the two kinds of topologies (namely the $(\epsilon,\lambda)-$topology introduced by the author and the stronger locally…
Let $(\Omega,{\cal F},P)$ be a probability space and $L^{0}({\cal F},R)$ the algebra of equivalence classes of real-valued random variables on $(\Omega,{\cal F},P)$. When $L^{0}({\cal F},R)$ is endowed with the topology of convergence in…
This paper provides versions of classical results from linear algebra, real analysis and convex analysis in a free module of finite rank over the ring $L^0$ of measurable functions on a $\sigma$-finite measure space. We study the question…
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…
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…
Optimization of conditional convex risk measure is a central theme in dynamic portfolio selection theory, which has not yet systematically studied in the previous literature perhaps since conditional convex risk measures are neither random…
We show that a wide class of risk-constrained nonconvex functional optimization problems exhibit strong duality, regardless of nonconvexity. We develop two novel results under distinct sets of assumptions, establishing strong duality over…
The purpose of this paper is to provide a characterization of the topological $L^0$-modules whose topology is induced by a family of $L^0$-seminorms using the gauge function for $L^0$-modules. Taking advantage of these ideas we will give a…
Theoretically speaking, there are four kinds of possibilities to define the random conjugate space of a random locally convex module. The purpose of this paper is to prove that among the four kinds there are only two which are universally…
We extend to the framework of locally $L^0$-convex modules some results from classical convex analysis. Namely, randomized versions of Mazur lemma and Krein-Smulian theorem under mild stability properties are provided.