Quasiconvex risk measures on variable exponent Bochner-Lebesgue spaces

Fei Sun, Yijun Hu

Published 2018-06-21Version 1

In this paper, we study the dual representation of quasiconvex risk measures defined on a special space of financial positions, which is called the variable exponent Bochner-Lebesgue space and was studied in detail by Cheng and Xu (2013). This space is denoted by $L^{p(\cdot)}(\Omega, E)$ where the variable exponent $p(\cdot)$ is no longer a given real number like the space $L^{p}$, but a measurable function.