Maximum Lebesgue extension of monotone convex functions (Q2444467)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum Lebesgue extension of monotone convex functions |
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Maximum Lebesgue extension of monotone convex functions (English)
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9 April 2014
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The author considers a monotone convex function on the space of essentially bounded, order continuous, random variables, and proves the existence of a maximum, order continuous, extension, to a larger solid vector space of random variables, specifically a uniformly integrable subspace of an Orlicz-type space. Certain references on the subject have been left aside, such as the reviewer's paper [J. Math. Econ. 42, No. 6, 794--806 (2006; Zbl 1142.91045)].
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monotone convex functions
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Lebesgue property
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order-continuity
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order-continuous Banach lattices
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uniform integrability
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convex risk measures
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