Dual Representation of Quasi-convex Conditional Maps
Year: 2011
Type: article
Abstract: We provide a dual representation of quasi-convex maps $\pi :L_{\mathcal{F}% }\rightarrow L_{\mathcal{G}}$, between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions $\pi :L_{\mathcal{F}% }\rightarrow \mathbb{R}$ and the dual representation of conditional convex maps $\pi :L_{\mathcal{F}}\rightarrow L_{\mathcal{G}}.$ These results were inspired by the theory of dynamic measurements of risk and are applied in this context.
DOI: 10.1137/09078033x
Authors: Marco Frittelli, Marco Maggis
Institution: University of Milan
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2073181968