Maximum Lebesgue extension of monotone convex functions (Q2444467)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Maximum Lebesgue extension of monotone convex functions |
scientific article |
Statements
Maximum Lebesgue extension of monotone convex functions (English)
0 references
9 April 2014
0 references
The author considers a monotone convex function on the space of essentially bounded, order continuous, random variables, and proves the existence of a maximum, order continuous, extension, to a larger solid vector space of random variables, specifically a uniformly integrable subspace of an Orlicz-type space. Certain references on the subject have been left aside, such as the reviewer's paper [J. Math. Econ. 42, No. 6, 794--806 (2006; Zbl 1142.91045)].
0 references
monotone convex functions
0 references
Lebesgue property
0 references
order-continuity
0 references
order-continuous Banach lattices
0 references
uniform integrability
0 references
convex risk measures
0 references
0 references