Robust representation of convex risk measures by probability measures (Q2488503)

The aim of this paper is to show the reverse direction of the criterion by \textit{H. Föllmer} and \textit{A. Schied} [Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. de Gruyter Studies in Mathematics 27. Berlin: de Gruyter. xi, 459 p. (2004; Zbl 1126.91028)] who found a kind of robust Savage representation for convex risk measures by a probability contents and gave a sufficient condition to achieve a representation by probability measure. The authors have also restored Föllmer and Schied's attempt to weaken the criterion within the setting of Polish spaces, by extending it to the situation when the set of scenarios is equipped by the metrizable topology. The proofs of the theorems rely on some consequences from measure theory and use some facts about sup functionals.