Geodesic
Differentiability of convex measures
Matematičeskie zametki, Tome 58 (1995) no. 6, pp. 862-871

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In this paper we consider convex measures on finite-dimensional spaces. We prove the differentiability of convex measures in the Skorokhod sense (and under some natural conditions, in the Fomin sense also). Simultaneously we give some additional results on differentiability of convex measures. 
@article{MZM_1995_58_6_a5,
     author = {E. P. Krugova},
     title = {Differentiability of convex measures},
     journal = {Matemati\v{c}eskie zametki},
     pages = {862--871},
     publisher = {mathdoc},
     volume = {58},
     number = {6},
     year = {1995},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MZM_1995_58_6_a5/}
}
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E. P. Krugova. Differentiability of convex measures. Matematičeskie zametki, Tome 58 (1995) no. 6, pp. 862-871. http://geodesic.mathdoc.fr/item/MZM_1995_58_6_a5/