P-Sensitive Functions and Localizations
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866917225215033344 |
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| author | Langner, Johannes Svindland, Gregor |
| author_facet | Langner, Johannes Svindland, Gregor |
| contents | This paper assumes a robust stochastic model where a set $\mathcal{P}$ of probability measures replaces the single probability measure of dominated models. We introduce and study $\mathcal{P}$-sensitive functions defined on robust function spaces of random variables. We show that $\mathcal{P}$-sensitive functions are precisely those that admit a representation via so-called functional localization. The theory is applied to solving robust optimization problems, to convex risk measures, and to the study of no arbitrage in robust one-period financial models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_19511 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | P-Sensitive Functions and Localizations Langner, Johannes Svindland, Gregor Probability Functional Analysis Optimization and Control Mathematical Finance 46A20, 46E30, 46N10, 46N30, 60B11, 91G80 This paper assumes a robust stochastic model where a set $\mathcal{P}$ of probability measures replaces the single probability measure of dominated models. We introduce and study $\mathcal{P}$-sensitive functions defined on robust function spaces of random variables. We show that $\mathcal{P}$-sensitive functions are precisely those that admit a representation via so-called functional localization. The theory is applied to solving robust optimization problems, to convex risk measures, and to the study of no arbitrage in robust one-period financial models. |
| title | P-Sensitive Functions and Localizations |
| topic | Probability Functional Analysis Optimization and Control Mathematical Finance 46A20, 46E30, 46N10, 46N30, 60B11, 91G80 |
| url | https://arxiv.org/abs/2601.19511 |