112 citations · 129 across the 20 of their papers we have counts for
15 papers · 1 filter
Monetary Utility Functions on Spaces
Freddy Delbaen
We will characterise robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.
Approximation with Independent Variables
Freddy Delbaen, Chitro Majumdar
Given a square integrable m-dimensional random variable on a probability space and a sub sigma algebra , we show that there exists another m-di…
Law of Large Numbers for Risk Measures
Freddy Delbaen
Under appropriate integrability conditions the risk measure of the sample measures for a law invariant risk measure converge almost surely to the risk measure of the sampled random…
Conditionally atomless extensions of sigma algebras
Freddy Delbaen
We give two equivalent definitions of sigma algebras that are atomless conditionally to a smaller sigma algebra.
Commonotonicity and Random Variables
Freddy Delbaen
It is proved that in suitable filtrations every pair of integrable random variables is the conditional expectation of a pair of commonotone integrable random variables.
Commonotonicity and time consistency for Lebesgue continuous monetary utility functions
Freddy Delbaen
It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless pro…
Precise Limit Theorems for Lacunary Series
Freddy Delbaen, Emma Hovhannisyan
Lacunary trigonometric and Walsh series satisfy limiting results that are typical for i.i.d. random variables such as the central limit theorem (Salem, Zygmund 1947), the law of th…
Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123
Freddy Delbaen
The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.
A Remark on the Structure of Expectiles
Freddy Delbaen
Expectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most…
Mod- convergence
Freddy Delbaen, Emmanuel Kowalski, Ashkan Nikeghbali
Using Fourier analysis, we study local limit theorems in weak-convergence problems. Among many applications, we discuss random matrix theory, some probabilistic models in number th…
Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
Matteo Casserini, Freddy Delbaen
In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Br…
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
Freddy Delbaen, Ying Hu, Adrien Richou
In a previous work, P. Briand and Y. Hu proved the uniqueness among the solutions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutio…
Representation of the penalty term of dynamic concave utilities
Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin
In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectat…
Harmonic Analysis of Stochastic Equations and Backward Stochastic Differential Equations
Freddy Delbaen, Shanjian Tang
The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ () and backward stochastic differential e…
Dynamic monetary risk measures for bounded discrete-time processes
Patrick Cheridito, Freddy Delbaen, Michael Kupper
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time ho…