The notion of convexity and concavity on Wiener space (Q1585979)

Let \((W, H, \mu)\) be an abstract Wiener space. A measurable function \(F:W\to R\cup\{\infty\}\) is said to be \(H\)-convex if for any \(k,h\in H,\) \(\alpha\in [0, 1]\) \[ F(w+\alpha h+(1-\alpha)k)\leq \alpha F(w+h)+(1-\alpha) F(w+k) \] almost surely. Similarly \(H\)-concave functions are defined. The properties of \(H\)-convexity and \(H\)-concavity are investigated. It is shown that some important finite-dimensional convexity-concavity inequalities have their natural counterparts in this setting.