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Introduction to the calculus of expectation functionals

Presenter
October 17, 2010
Keywords:
  • Decomposable
MSC:
  • 47B40
Abstract
Decomposable spaces. Fatou’s lemma for random set and random lsc functions. Interchange of minimization and (conditional) expectation. Subdifferentiation of expectation functionals. Martingale integrands and application to financial valuation.