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.