Duality and stable compactness in Orlicz-type modules

DOI10.1007/S13398-023-01516-5MaRDI QIDQ6144645zbMATH OpenOpenAlexFDO

Authors José Orihuela, José Miguel Zapata

Publication date 29 January 2024

Published in Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1612.03680

zbMATH Keywords

conditional risk measuresdualityOrlicz-type modulestable compactness

Mathematics Subject Classification ID

Compactness in Banach (or normed) spaces (46B50) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Normed modules and Banach modules, topological modules (if not placed in 13-XX or 16-XX) (46H25) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Compactness (54D30) Risk models (general) (91B05)

Abstract: We consider conditional and dynamic risk measures of Orlicz spaces and study their robust representation. For this purpose, given a probability space $(Omega,mathcalE,mathbbP)$, a sub-$sigma$-algebra $mathcalF$ of $mathcalE$, and a Young function $varphi$, we study the relation between the classical Orlicz space $L^{v}arphi(mathcalE)$ and the modular Orlicz-type module $L^{v}arph{i}_{m}athcalF(mathcalE)$; based on conditional set theory, we describe the conditional order continuous dual of a Orlicz-type module; and by using scalarization and modular extensions of conditional risk measures together with elements of conditional set theory, we finally characterize the robust representation of conditional risk measures of Orlicz spaces.

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Cites work

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• Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem

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