Maximum Lebesgue extension of monotone convex functions (Q2444467)

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Maximum Lebesgue extension of monotone convex functions
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    Maximum Lebesgue extension of monotone convex functions (English)
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    9 April 2014
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    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)].
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    monotone convex functions
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    Lebesgue property
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    order-continuity
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    order-continuous Banach lattices
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    uniform integrability
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    convex risk measures
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