条件发散风险措施

IF 1.2 3区数学 Q1 MATHEMATICS

Journal of Mathematical Analysis and Applications Pub Date : 2025-04-16 DOI:10.1016/j.jmaa.2025.129598

Giulio Principi , Fabio Maccheroni

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引用次数: 0

摘要

本文对条件风险度量和条件确定性等价理论做出了贡献。我们采用随机模方法，在模凸分析和条件风险度量的研究中被证明是有效的。特别地，我们研究了优化确定性等价的条件对应物。在此过程中，我们给出了条件L∞空间中niveloid的表示结果。通过使用这样的表示结果，我们检索了优化确定性等价的变分公式的条件版本。总之，我们应用这个公式来提供条件熵风险测度的变分表示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Conditional divergence risk measures

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. In particular, we study the conditional counterpart of optimized certainty equivalents. In the process, we provide representation results for niveloids in the conditional

L^{\infty}

-space. By employing such representation results we retrieve a conditional version of the variational formula for optimized certainty equivalents. In conclusion, we apply this formula to provide a variational representation of the conditional entropic risk measure.

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来源期刊

Journal of Mathematical Analysis and Applications 数学-数学

CiteScore

2.50

自引率

7.70%

发文量

790

审稿时长

6 months

期刊介绍： The Journal of Mathematical Analysis and Applications presents papers that treat mathematical analysis and its numerous applications. The journal emphasizes articles devoted to the mathematical treatment of questions arising in physics, chemistry, biology, and engineering, particularly those that stress analytical aspects and novel problems and their solutions. Papers are sought which employ one or more of the following areas of classical analysis: • Analytic number theory • Functional analysis and operator theory • Real and harmonic analysis • Complex analysis • Numerical analysis • Applied mathematics • Partial differential equations • Dynamical systems • Control and Optimization • Probability • Mathematical biology • Combinatorics • Mathematical physics.