A robust version of convex integral functionals

MaRDI QIDQ3450755zbMATH OpenFDO

Authors Keita Owari

Publication date 9 November 2015

Full work available at URL https://arxiv.org/abs/1305.6023, http://www.heldermann.de/JCA/JCA22/JCA223/jca22042.htm

zbMATH Keywords

convex integral functionalsdualityfinancial mathematicsrobust stochastic optimization

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15) Convex functions and convex programs in convex geometry (52A41) Financial applications of other theories (91G80)

Abstract: We study the pointwise supremum of convex integral functionals $mathcal{I}_{f,gamma}(xi)=su{p}_{Q}left(in{t}_{O}megaf(omega,xi(omega))Q(domega)-gamma(Q)ight)$ on $L^{i}nfty(Omega,mathcalF,mathbbP)$ where $f:OmegaimesmathbbRightarrowoverlinemathbbR$ is a proper normal convex integrand, $gamma$ is a proper convex function on the set of probability measures absolutely continuous w.r.t. $mathbbP$, and the supremum is taken over all such measures. We give a pair of upper and lower bounds for the conjugate of $mathcal{I}_{f,gamma}$ as direct sums of a common regular part and respective singular parts; they coincide when $mathrmdom(gamma)=mathbbP$ as Rockafellar's result, while both inequalities can generally be strict. We then investigate when the conjugate eliminates the singular measures, which a fortiori yields the equality in bounds, and its relation to other finer regularity properties of the original functional and of the conjugate.

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Cited in

(9)

• Property of convexification
• Conjugates of integral functionals on continuous functions
• Discontinuity and measurability of robust functions in the integral global minimization
• Convex conjugates of integral functionals
• Duality for the robust sum of functions
• Robust utility maximization in discrete-time markets with friction
• Convex integral functionals of processes of bounded variation
• Legendre-type integrands and convex integral functions
• On basic properties of convex functions and convex integrands

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