Monetary value measures in a category of probability spaces

2017/02/03 by Adachi, Takanori, Ryu, Yoshihiro
#16B50 #18B99 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Primary 91B30 #secondary 91B82

paper · doi:10.48550/arxiv.1702.01175

Abstract

We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \chi to the category of probability spaces Prob introduced in [Adachi and Ryu, 2016].

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