Maximum Lebesgue extension of monotone convex functions

DOI10.1016/J.JFA.2014.01.002MaRDI QIDQ2444467zbMATH OpenOpenAlexFDO

Authors Keita Owari

Publication date 9 April 2014

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

Full work available at URL https://arxiv.org/abs/1304.7934

zbMATH Keywords

convex risk measuresLebesgue propertymonotone convex functionsorder-continuityorder-continuous Banach latticesuniform integrability

Mathematics Subject Classification ID

Banach lattices (46B42) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Applications of functional analysis in probability theory and statistics (46N30)

Abstract: Given a monotone convex function on the space of essentially bounded random variables with the Lebesgue property (order continuity), we consider its extension preserving the Lebesgue property to as big solid vector space of random variables as possible. We show that there exists a maximum such extension, with explicit construction, where the maximum domain of extension is obtained as a (possibly proper) subspace of a natural Orlicz-type space, characterized by a certain uniform integrability property. As an application, we provide a characterization of the Lebesgue property of monotone convex function on arbitrary solid spaces of random variables in terms of uniform integrability and a "nice" dual representation of the function.

Review text

The author considers a monotone convex function on the space of essentially bounded, order continuous, random variables, and proves the existence of a maximum, order continuous, extension, to a larger solid vector space of random variables, specifically a uniformly integrable subspace of an Orlicz-type space. Certain references on the subject have been left aside, such as the reviewer's paper [J. Math. Econ. 42, No. 6, 794--806 (2006; Zbl 1142.91045)].

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Cited in

(11)

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