Conditional interior and conditional closure of a random set
Date
2019-08Publisher city
ParisPublisher
Cahier de recherche CEREMADE, Université Paris-DauphinePublishing date
2019Collection title
Cahier de recherche CEREMADE, Université Paris-DauphineLink to item file
https://hal.archives-ouvertes.fr/hal-02272243Dewey
Probabilités et mathématiques appliquéesSujet
random optimization; conditional closure; conditional interior; Random set; conditional core; mathematical financeCollections
Metadata
Show full item recordAuthor
Mansour, Meriam
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Type
Item number of pages
10Abstract (EN)
In this paper, we introduce two new concepts of conditional random set in a Banach space: The conditional interior and the conditional closure. The conditional interior is an open version of the conditional core, as recently introduced by Lépinette and Molchanov, and may be seen as a measurable version of the topological interior. The conditional closure generalizes the concept of conditional support. These concepts are useful for applications in mathematical finance and conditional optimization.Related items
Showing items related by title, author, creator and subject.
-
Do Inflation-Linked Bonds Still Diversify ?
Brière, Marie; Signori, Ombretta (2009-03) Article accepté pour publication ou publié -
Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition
Lépinette, Emmanuel; Zhao, Jun (2019) Document de travail / Working paper -
Component-wise approximate Bayesian computation via Gibbs-like steps
Clarté, Grégoire; Ryder, Robin J.; Robert, Christian P.; Stoehr, Julien (2019) Document de travail / Working paper