Bipolar Theorems for Sets of Non-negative Random Variables
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Duality theory for topological vector spaces (46A20) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of functional analysis in probability theory and statistics (46N30) Probability theory on linear topological spaces (60B11) Financial applications of other theories (91G80)
Abstract: This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set of all quasi-sure equivalence classes of non-negative random variables without any further conditions on the underlying measure space. This generalises and unifies existing bipolar theorems proved under stronger assumptions on the robust framework. Moreover, we sketch applications to issues in mathematical finance and a mass transport type duality.
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