Conditional cores and conditional convex hulls of random sets

Lepinette, Emmanuel; Molchanov, Ilya (2019). Conditional cores and conditional convex hulls of random sets. Journal of mathematical analysis and applications, 478(2), pp. 368-392. Elsevier 10.1016/j.jmaa.2019.05.010

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We define two non-linear operations with random (not necessarily closed) sets in Banach space: the conditional core and the conditional convex hull. While the first is sublinear, the second one is superlinear (in the reverse set inclusion ordering). Furthermore, we introduce the generalised conditional expectation of random closed sets and show that it is sandwiched between the conditional core and the conditional convex hull. The results rely on measurability properties of not necessarily closed random sets considered from the point of view of the families of their selections. Furthermore, we develop analytical tools suitable to handle random convex (not necessarily weakly compact) sets in Banach spaces; these tools are based on considering support functions as functions of random arguments. The paper is motivated by applications to assessing multivariate risks in mathematical finance.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Molchanov, Ilya

Subjects:

500 Science > 510 Mathematics

ISSN:

0022-247X

Publisher:

Elsevier

Language:

English

Submitter:

Ilya Molchanov

Date Deposited:

14 Jan 2020 09:34

Last Modified:

14 Jan 2020 09:34

Publisher DOI:

10.1016/j.jmaa.2019.05.010

BORIS DOI:

10.7892/boris.138560

URI:

https://boris.unibe.ch/id/eprint/138560

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