14 citations · 27 across the 5 of their papers we have counts for
7 papers
Semistatic robust utility indifference valuation and robust integral functionals
Keita Owari
We consider a discrete-time robust utility maximisation with semistatic strategies, and the associated indifference prices of exotic options. For this purpose, we introduce a robus…
Convex functions on dual Orlicz spaces
Freddy Delbaen, Keita Owari
In the dual of a -Orlicz space , that we call a dual Orlicz space, we show that a proper (resp. finite) convex function is lower semicontinuous (resp. continuou…
A Robust Version of Convex Integral Functionals
Keita Owari
We study the pointwise supremum of convex integral functionals on wher…
On the Lebesgue Property of Monotone Convex Functions
Keita Owari
The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of…
Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
Given a monotone convex function on the space of essentially bounded random variables with the Lebesgue property (order continuity), we consider its extension preserving the Lebesg…
On Admissible Strategies in Robust Utility Maximization
Keita Owari
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to fin…