The notion of convexity and concavity on Wiener space

D. Feyel; A. S. Üstünel

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arXiv · 0809.0812

The notion of convexity and concavity on Wiener space

D. Feyel·A. S. Üstünel

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Abstract

We define, in the frame of an abstract Wiener space, the notions of convexity and of concavity for the equivalence classes of random variables. As application we show that some important inequalities of the finite dimensional case have their natural counterparts in this setting.

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BibTeX RIS

D. Feyel, A. S. Üstünel. 2008-09-04. The notion of convexity and concavity on Wiener space. https://arxiv.org/abs/0809.0812

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