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arXiv · 1703.10367

On Banach spaces of vector-valued random variables and their duals motivated by risk measures

Thomas Kalmes·Alois Pichler
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Abstract

We introduce Banach spaces of vector-valued random variables motivated from mathematical finance. So-called risk functionals are defined in a natural way on these Banach spaces and it is shown that these functionals are Lipschitz continuous. The risk functionals cannot be defined on strictly larger spaces of random variables which creates a particular interest for the spaces presented. We elaborate key properties of these Banach spaces and give representations of their dual spaces in terms of vector measures with values in the dual space of the state space.

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Thomas Kalmes, Alois Pichler. 2017-03-30. On Banach spaces of vector-valued random variables and their duals motivated by risk measures. https://doi.org/10.1215/17358787-2017-0026

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