摘要翻译:
给出了两个随机变量格之间拟凸映射的条件期望对偶表示。这推广了拟凸实值函数的对偶表示和条件凸映射的对偶表示。
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英文标题:
《Dual Representation of Quasiconvex Conditional Maps》
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作者:
Marco Frittelli and Marco Maggis
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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英文摘要:
We provide a dual representation of quasiconvex maps between two lattices of random variables in terms of conditional expectations. This generalizes the dual representation of quasiconvex real valued functions and the dual representation of conditional convex maps.
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PDF链接:
https://arxiv.org/pdf/1001.3644