On Banach spaces of vector-valued random variables and their duals motivated by risk measures

DOI10.1215/17358787-2017-0026zbMath1402.46020arXiv1703.10367OpenAlexW3100017273MaRDI QIDQ1790410

Thomas Kalmes, Alois Pichler

Publication date: 2 October 2018

Published in: Banach Journal of Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.10367

zbMATH Keywords

rearrangement invariant spacesrisk measuresdual representationBanach spaces of random variablesvector-valued random variables

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Spaces of vector- and operator-valued functions (46E40)

Related Items (3)

Wasserstein Sensitivity of Risk and Uncertainty Propagation ⋮ An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ Topological duals of locally convex function spaces

Uses Software

• QRM

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