Do law-invariant linear functionals collapse to the mean?

Authors Shengzhong Chen, Niushan Gao, Denny H. Leung, Lei Li

Publication date 23 July 2021

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Probability distributions: general theory (60E05)

Abstract: In this note, we show that, on a wide range of rearrangement-invariant spaces, a law-invariant bounded linear functional is a scalar multiple of the expectation. We also construct a rearrangement-invariant space on which this property fails.

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