- Speaker(s)
- Andrzej Ruszczyński
- Affiliation
- Rutgers University
- Date
- Feb. 27, 2020, 2:15 p.m.
- Room
-
room 2180
- Seminar
- Konwersatorium IMSM
We introduce the concept of a risk form, which is a real functional on
the product of two spaces: the space of measurable functions and the
space of measures on a Polish space. We present a dual representation
of risk forms and generalize the classical Kusuoka representation to
this setting. For a risk form acting on a product space, we define
marginal and conditional forms and we prove a disintegration formula,
which represents a risk form as a composition of its marginal and
conditional forms. We apply the proposed approach to two-stage
optimization problems with partial information and decision-dependent
observation distribution. Finally, we discuss statistical estimation
of risk forms and present a central limit formula for a class of forms
defined by nested expectations.
You are not logged in |
