Conditional cores and conditional convex hulls of random sets

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 conditio...

Full description

Saved in:
Bibliographic Details
Published inJournal of mathematical analysis and applications Vol. 478; no. 2; pp. 368 - 392
Main Authors Lépinette, Emmanuel, Molchanov, Ilya
Format Journal Article
LanguageEnglish
Published Elsevier Inc 15.10.2019
Subjects
Essential supremum
Random set
Selection
Set-valued expectation
Sublinear expectation
Superlinear expectation
Essential supremum
Sublinear expectation
Random set
Selection
Set-valued expectation
Superlinear expectation
Online AccessGet full text

Cover

More Information
Summary: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.
ISSN:0022-247X
1096-0813
DOI:10.1016/j.jmaa.2019.05.010