Conditionally evenly convex sets and evenly quasi-convex maps

DOI10.1016/J.JMAA.2013.11.044MaRDI QIDQ2019223zbMATH OpenOpenAlexFDO

Authors Marco Frittelli, Marco Maggis

Publication date 27 March 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.0956

zbMATH Keywords

\(L^0\)-modulesbipolar theoremevenly convex setnonlinear conditional expectationquasi-convex risk measuresseparation theorem

Mathematics Subject Classification ID

Convex sets in topological linear spaces; Choquet theory (46A55) Convex sets in topological vector spaces (aspects of convex geometry) (52A07) Financial applications of other theories (91G80)

Abstract: Evenly convex sets in a topological vector space are defined as the intersection of a family of open half spaces. We introduce a generalization of this concept in the conditional framework and provide a generalized version of the bipolar theorem. This notion is then applied to obtain the dual representation of conditionally evenly quasi-convex maps.

Review text

The aim of this paper is to give a conditional version of the representation of evenly quasi-convex maps. To this purpose, the notion of conditionally evenly convex set, an extension of the concept of evenly convex set, is introduced. In Section 2, a characterization of conditional even convexity is provided, and the conditional version of the bipolar theorem is proved. In Section 3, the new notion is applied in order to obtain the dual representation of conditionally evenly quasi-convex maps.

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Cites work

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Cited in

(10)

• Measures and integrals in conditional set theory
• Evenly convex credal sets
• Characterizations of evenly convex sets and evenly quasiconvex functions
• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• Dual representation of quasi-convex conditional maps
• Dual representations of hulls for functions satisfyingf(0) = inff(X\{0})^*
• L^0-convex compactness and its applications to random convex optimization and random variational inequalities
• Conditional systemic risk measures
• Evenly convex sets, and evenly quasiconvex functions, revisited
• Basic properties of evenly convex sets

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