BIRS Workshop Lecture Videos
Spatial risk measures: local specification and phase transition Föllmer, Hans
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.
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