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Representation and approximation of convex dynamic risk measures with respect to strong-weak topologies

Okhrati, R; Assa, H; (2017) Representation and approximation of convex dynamic risk measures with respect to strong-weak topologies. Stochastic Analysis and Applications , 35 (4) pp. 604-614. 10.1080/07362994.2017.1289104. Green open access

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Abstract

We provide a representation for strong-weak continuous dynamic risk measures from L p into L p t spaces where these spaces are equipped respectively with strong and weak topologies and p is a finite number strictly larger than one. Conversely, we show that any such representation that admits a compact (with respect to the product of weak topologies) sub-differential generates a dynamic risk measure that is strong-weak continuous. Furthermore, we investigate sufficient conditions on the sub-differential for which the essential supremum of the representation is attained. Finally, the main purpose is to show that any convex dynamic risk measure that is strong-weak continuous can be approximated by a sequence of convex dynamic risk measures which are strong-weak continuous and admit compact sub-differentials with respect to the product of weak topologies. Throughout the arguments, no conditional translation invariance or monotonicity assumptions are applied.

Type: Article
Title: Representation and approximation of convex dynamic risk measures with respect to strong-weak topologies
Open access status: An open access version is available from UCL Discovery
DOI: 10.1080/07362994.2017.1289104
Publisher version: https://doi.org/10.1080/07362994.2017.1289104
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Sub-differential, Dynamic risk measures, Representation theorem, Convexity, Weak and strong continuity
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Civil, Environ and Geomatic Eng
URI: https://discovery.ucl.ac.uk/id/eprint/10081496
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