A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\). (Q2574595)

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A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\).
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    A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\). (English)
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    29 November 2005
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    The main statement of the paper is the following: Let \(K\subset [0,\infty )^d\) be a closed convex cone with \[ K\cap \partial [0,\infty )^d=\{0\}. \] Let \(C\) be a convex subset of the space \(L^0(K)\) of the \(K\)-valued random variables, equipped with the topology of the convergence in probability. Assume that \(C\) contains a random variable having all values in the relative interior of \(K\). Then the bipolar \(C^{00}\supset C\) is the smallest closed convex set with the property \[ f\in C^{00},\;g\in L^0(K),\;f-g\in K\;\text{a.s.} \Rightarrow g\in C^{00}. \]
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    polarity
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    convex analysis
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    dual formulation in mathematical finance
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