Title	Spatial risk measures: local specification and phase transition
Creator	Föllmer, Hans
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-12
Description	In the spatial setting of a large network, the local specification of convex risk measures can be seen as a non-linear extension of the local specification of equilibrium states in Statistical Mechanics. We discuss the corresponding aggregation problem of passing from local to global risk measures and the appearance of phase transitions. This will involve a non-linear extension of backwards martingale convergence, arguments from preference theory, and a spatial version of Dynkin\'s construction of entrance boundaries for Markov processes.
Extent	39 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes; Mathematical finance
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Humboldt Universität zu Berlin
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-30
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044156
URI	http://hdl.handle.net/2429/50935
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
Aggregated Source Repository	DSpace

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