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Register a new userOn Banach spaces of vector-valued random variables and their duals motivated by risk measures
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We introduce Banach spaces of vector-valued random variables motivated from mathematical finance. So-called risk functionals are defined in a natural way on these Banach spaces and it is shown that these functionals are Lipschitz continuous. The risk functionals cannot be defined on strictly larger spaces of random variables which creates a particular interest for the spaces presented. We elaborate key properties of these Banach spaces and give representations of their dual spaces in terms of vector measures with values in the dual space of the state space.
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We prove that for every Banach space $Y$, the Besov spaces of functions from the $n$-dimensional Euclidean space to $Y$ agree with suitable local approximation spaces with equivalent norms. In addition, we prove that the Sobolev spaces of type $q$ are continuously embedded in the Besov spaces of the same type if and only if $Y$ has martingale cotype $q$. We interpret this as an extension of earlier results of Xu (1998), and Martinez, Torrea and Xu (2006). These two results combined give the characterization that $Y$ admits an equivalent norm with modulus of convexity of power type $q$ if and only if weakly differentiable functions have good local approximations with polynomials.
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Within the class of reflexive Banach spaces, we prove a metric characterization of the class of asymptotic-$c_0$ spaces in terms of a bi-Lipschitz invariant which involves metrics that generalize the Hamming metric on $k$-subsets of $mathbb{N}$. We apply this characterization to show that the class of separable, reflexive, and asymptotic-$c_0$ Banach spaces is non-Borel co-analytic. Finally, we introduce a relaxation of the asymptotic-$c_0$ property, called the asymptotic-subsequential-$c_0$ property, which is a partial obstruction to the equi-coarse embeddability of the sequence of Hamming graphs. We present examples of spaces that are asymptotic-subsequential-$c_0$. In particular $T^*(T^*)$ is asymptotic-subsequential-$c_0$ where $T^*$ is Tsirelsons original space.
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