Jensen's inequality for a convex vector-valued function on an infinite-dimensional space

DOI10.1016/0047-259X(74)90005-0MaRDI QIDQ2265082zbMATH OpenWikidataFDO

Authors Michael D. Perlman

Publication date 1974

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(74)90005-0

zbMATH Keywords

convex functionsinfinite-dimensional linear topological spacesJensen's inequality

Mathematics Subject Classification ID

Convexity of real functions in one variable, generalizations (26A51) Inequalities for sums, series and integrals (26D15) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probability measures on topological spaces (60B05)

Review text

Jensen's inequality \(f(EX) \le Ef(X)\) for the expectation of a convex function of a random variable is extended to a generalized class of convex functions \(f\) whose domain and range are subsets of (possibly) infinite-dimensional linear topological spaces. Convexity of \(f\) is defined with respect to closed cone partial orderings, or more general binary relations, on the range of \(f\). Two different methods of proof are given, one based on geometric properties of convex sets and the other based on the Strong Law of Large Numbers. Various conditions under which Jensen's inequality becomes strict are studied. The relation between Jensen's inequality and Fatou's Lemma is examined.

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