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arXiv · 1502.05763

Representation of increasing convex functionals with countably additive measures

Patrick Cheridito·Michael Kupper·Ludovic Tangpi
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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.

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Patrick Cheridito, Michael Kupper, Ludovic Tangpi. 2015-02-20. Representation of increasing convex functionals with countably additive measures. https://arxiv.org/abs/1502.05763

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