Convex Risk Measures for Càdlàg Processes on Orlicz Hearts

DOI10.1137/130908427zbMath1308.91074OpenAlexW2058909071MaRDI QIDQ2940774

Takuji Arai

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1ca23f9ae4b42402d5a34ed680e36526e4a76a26

zbMATH Keywords

convex risk measureshortfall riskOrlicz heartrandomized stopping timeAmerican claim

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Actuarial science and mathematical finance (91G99)

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Dual spaces of cadlag processes

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