Dual Representation of Quasiconvex Conditional Maps

2010/01/20 by Marco Frittelli, Frittelli, Marco, Marco Maggis +1
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM) #math.PR #q-fin.RM

paper · pdf · doi:10.48550/arxiv.1001.3644

Date changed Added one remark on assumption (c), page 6

arxiv created 2010/01/21 · arxiv updated 2010/02/26

Abstract

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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