Campuses:

Introduction to the calculus of expectation<br/><br/>functionals

Sunday, October 17, 2010 - 11:00am - 12:00pm
Keller 3-180
Roger Wets (University of California)
Decomposable spaces. Fatou’s
lemma for random set and random lsc functions. Interchange of
minimization and (conditional)
expectation. Subdifferentiation of expectation functionals.
Martingale integrands
and application to financial valuation.
MSC Code: 
47B40
Keywords: