Zobrazeno 1 - 10
of 79
pro vyhledávání: '"Xanthos, Foivos"'
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
Autor:
Rahsepar, Massoomeh, Xanthos, Foivos
Let $\mathcal{X}$ be a subset of $L^1$ that contains the space of simple random variables $\mathcal{L}$ and $\rho: \mathcal{X} \rightarrow (-\infty,\infty]$ a dilatation monotone functional with the Fatou property. In this note, we show that $\rho$ e
Externí odkaz:
http://arxiv.org/abs/2002.11865
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
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
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
Unbounded order convergence has lately been systematically studied as a generalization of almost everywhere convergence to the abstract setting of vector and Banach lattices. This paper presents a duality theory for unbounded order convergence. We de
Externí odkaz:
http://arxiv.org/abs/1705.06143
We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we show that Delbaen's representation of convex functio
Externí odkaz:
http://arxiv.org/abs/1701.05967
Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures
Let $(\Phi,\Psi)$ be a conjugate pair of Orlicz functions. A set in the Orlicz space $L^\Phi$ is said to be order closed if it is closed with respect to dominated convergence of sequences of functions. A well known problem arising from the theory of
Externí odkaz:
http://arxiv.org/abs/1610.08806
Autor:
Gao, Niushan, Xanthos, Foivos
\begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for $L_p$-models. We also apply the spanning power
Externí odkaz:
http://arxiv.org/abs/1603.01288