Representation of increasing convex functionals with countably additive measures
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Date
2021Type
- Journal Article
ETH Bibliography
yes
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Abstract
We derive two types of representation results for increasing convex functionals in terms of countably additive measures. The first is a max-representation of functionals defined on spaces of real-valued continuous functions and the second a sup-representation of functionals defined on spaces of real-valued Borel measurable functions. Our assumptions consist of sequential semicontinuity conditions which are easy to verify in different applications.
© 2021 Instytut Matematyczny PAN. Show more
Publication status
publishedExternal links
Journal / series
Studia MathematicaVolume
Pages / Article No.
Publisher
Polish Academy of SciencesSubject
representation theorems; increasing convex functionals; countably additive measures; regular measuresOrganisational unit
09557 - Cheridito, Patrick / Cheridito, Patrick
02204 - RiskLab / RiskLab
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ETH Bibliography
yes
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