Lebesgue Property of Convex Risk Measures for Bounded Cadlag Processes

• Autores: Hirbod Assa
• Localización: Methods and applications of analysis, ISSN 1073-2772, Vol. 18, Nº 3, 2011, págs. 335-350
• Idioma: inglés
• DOI: 10.4310/maa.2011.v18.n3.a4
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• Resumen

  • In this paper, we study the Lebesgue property for convex risk measures on the class of bounded c`adl`ag processes. For that, we characterize the compact subsets of a family of bounded variation processes, which is, of course, the topological dual of the bounded c`adl`ag processes, in an appropriate topology. We show that the Lebesgue property can be characterized in several equivalent ways.