On closedness of law-invariant convex sets in rearrangement invariant spaces

DOI10.1007/S00013-019-01398-3MaRDI QIDQ2291679zbMATH OpenOpenAlexWikidataFDO

Authors Made Tantrawan, Denny H. Leung

Publication date 31 January 2020

Published in Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.10374

zbMATH Keywords

convex setsFatou propertylaw-invariantrearrangement invariant spaces

Mathematics Subject Classification ID

Duality theory for topological vector spaces (46A20) Convex sets in topological linear spaces; Choquet theory (46A55) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Abstract: This paper presents relations between several types of closedness of a law-invariant convex set in a rearrangement invariant space $mathcalX$. In particular, we show that order closedness, $sigma(mathcalX,mathcal{X}_n^{s}im)$-closedness and $sigma(mathcalX,L^{i}nfty)$-closedness of a law-invariant convex set in $mathcalX$ are equivalent, where $mathcal{X}_n^{s}im$ is the order continuous dual of $mathcalX$. We also provide some application to proper quasiconvex law-invariant functionals with the Fatou property.

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Cited in

(9)

• Law-invariant functionals that collapse to the mean
• Bibounded uo-convergence and b-property in vector lattices
• On the extension property of dilatation monotone risk measures
• Automatic Fatou property of law-invariant risk measures
• On closedness of convex sets in Banach lattices
• The order-type Banach-Saks properties
• Law-Invariant Functionals on General Spaces of Random Variables
• Risk sharing under heterogeneous beliefs without convexity
• Short communication: revisiting the automatic Fatou property of law-invariant functionals

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