Stability in locally L^0-convex modules and a conditional version of James' compactness theorem

DOI10.1016/J.JMAA.2017.03.048MaRDI QIDQ2396680zbMATH OpenOpenAlexFDO

Authors José Miguel Zapata, José Orihuela

Publication date 24 May 2017

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

Full work available at URL https://arxiv.org/abs/1509.07081

zbMATH Keywords

stability propertiesJames' compactness theoremconditional convex risk measureconditionally locally convex spaceJouini-Schachermayer-Touzi theoremlocally \(L^0\)-convex module

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Compactness in topological linear spaces; angelic spaces, etc. (46A50) Normed modules and Banach modules, topological modules (if not placed in 13-XX or 16-XX) (46H25) Other ``topological linear spaces (convergence spaces, ranked spaces, spaces with a metric taking values in an ordered structure more general than (mathbb{R}), etc.) (46A19)

Abstract: Locally $L^0$-convex modules were introduced in [D. Filipovic, M. Kupper, N. Vogelpoth. Separation and duality in locally $L^0$-convex modules. J. Funct. Anal. 256(12), 3996-4029 (2009)] as the analytic basis for the study of conditional risk measures. Later, the algebra of conditional sets was introduced in [S. Drapeau, A. Jamneshan, M. Karliczek, M. Kupper. The algebra of conditional sets and the concepts of conditional topology and compactness. J. Math. Anal. Appl. 437(1), 561-589 (2016)]. In this paper we study locally $L^0$-convex modules, and find exactly which subclass of locally $L^0$-convex modules can be identified with the class of locally convex vector spaces within the context of conditional set theory. Second, we provide a version of the classical James' theorem of characterization of weak compactness for conditional Banach spaces. Finally, we state a conditional version of the Fatou and Lebesgue properties for conditional convex risk measures and, as application of the developed theory, we stablish a version of the so-called Jouini-Schachermayer-Touzi theorem for robust representation of conditional convex risk measures defined on a $L^{i}nfty$-type module.

Recommendations

• Random convex analysis (II): Continuity and subdifferentiability theorems in <italic>L</italic><sup>0</sup>-pre-barreled random locally convex modules
• On \(L^0\)-convex compactness in random locally convex modules
• Weak topologies for modules over rings of bounded random variables
• Separation and duality in locally \(L^0\)-convex modules
• Approaches to conditional risk

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Cited in

(9)

• On the characterization of locally \(L^{0}\)-convex topologies induced by a family of \(L^{0}\)-seminorms
• A Fenchel-Moreau theorem for $\bar L^0$-valued functions
• Duality and stable compactness in Orlicz-type modules
• On \(L^0\)-convex compactness in random locally convex modules
• Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
• Randomized versions of Mazur lemma and Krein-Šmulian theorem
• Measures and integrals in conditional set theory
• Conditional analysis on \(\mathbb R^d\)
• Lattice modules over rings of bounded random variables

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