Zobrazeno 1 - 10
of 90
pro vyhledávání: '"Gao, Niushan"'
Autor:
Gao, Niushan, Xanthos, Foivos
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and applies to many deviation and variability measures. We also show that an or
Externí odkaz:
http://arxiv.org/abs/2405.09766
In this note, we show that, on a wide range of rearrangement-invariant spaces, a law-invariant bounded linear functional is a scalar multiple of the expectation. We also construct a rearrangement-invariant space on which this property fails.
Externí odkaz:
http://arxiv.org/abs/2107.11239
In the paper we investigate automatic Fatou property of law-invariant risk measures on a rearrangement-invariant function space $\mathcal{X}$ other than $L^\infty$. The main result is the following characterization: Every real-valued, law-invariant,
Externí odkaz:
http://arxiv.org/abs/2107.08109
The study of the Banach-Saks property in Banach spaces has a long and illustrious history. Of late, motivated by applications in financial mathematics, interest has arisen in the Banach-Saks type properties with respect to order convergence. This pap
Externí odkaz:
http://arxiv.org/abs/2010.05255
We investigate a variety of stability properties of Haezendonck-Goovaerts premium principles on their natural domain, namely Orlicz spaces. We show that such principles always satisfy the Fatou property. This allows to establish a tractable dual repr
Externí odkaz:
http://arxiv.org/abs/1909.10735
Olkin [3] obtained a neat upper bound for the determinant of a correlation matrix. In this note, we present an extension and improvement of his result.
Externí odkaz:
http://arxiv.org/abs/1909.05420
In the paper, we investigate the following fundamental question. For a set $\mathcal{K}$ in $\mathbb{L}^0(\mathbb{P})$, when does there exist an equivalent probability measure $\mathbb{Q}$ such that $\mathcal{K}$ is uniformly integrable in $\mathbb{L
Externí odkaz:
http://arxiv.org/abs/1902.00992
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 January 2023 517(1)
An important consequence of the Hahn-Banach Theorem says that on any locally convex Hausdorff topological space $X$, there are sufficiently many continuous linear functionals to separate points of $X$. In the paper, we establish a `local' version of
Externí odkaz:
http://arxiv.org/abs/1809.01795
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk measures. Our
Externí odkaz:
http://arxiv.org/abs/1805.05259