201 research outputs found
A Convergence of Bivariate Functions aimed at the Convergence of Saddle Functions
Epi/hypo-convergence is introduced from a variational viewpoint. The known topological properties are reviewed and extended. Finally, it is shown that the (partial) Legendre-Fenchel transform is bicontinuous with respect to the topology induced by epi/hypoconvergence on the space of convex-concave bivariate functions
A model for a large investor trading at market indifference prices. I: single-period case
We develop a single-period model for a large economic agent who trades with
market makers at their utility indifference prices. A key role is played by a
pair of conjugate saddle functions associated with the description of Pareto
optimal allocations in terms of the utility function of a representative market
maker.Comment: Shorten from 69 to 30 pages due to referees' requests; a part of the
previous version has been moved to "The stochastic field of aggregate
utilities and its saddle conjugate", arXiv:1310.728
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