Convex Risk Measures for Càdlàg Processes on Orlicz Hearts

@article{Arai2014ConvexRM,
  title={Convex Risk Measures for C{\`a}dl{\`a}g Processes on Orlicz Hearts},
  author={Takuji Arai},
  journal={SIAM J. Financial Math.},
  year={2014},
  volume={5},
  pages={609-625}
}
Our purpose is to study properties and representations of convex risk measures for possibly unbounded càdlàg processes. As the underlying space on which we define convex risk measures, we consider spaces of càdlàg processes whose supremum belongs to an Orlicz heart. In order to obtain concrete representations for such convex risk measures, we shall… CONTINUE READING