On the Lebesgue property of monotone convex functions

DOI10.1007/S11579-013-0111-ZMaRDI QIDQ2452153zbMATH OpenOpenAlexFDO

Authors Keita Owari

Publication date 30 May 2014

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.2271

zbMATH Keywords

convex risk measuresLebesgue propertymonotone convex functionorder continuityperturbed James's theorem

Mathematics Subject Classification ID

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 optimization, convex analysis, mathematical programming, economics (46N10) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07) Financial applications of other theories (91G80)

Abstract: The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space, (2) the attainment of the supremum in the dual representation by order-continuous linear functionals. This generalizes and unifies several recent results obtained in the context of convex risk measures.

Recommendations

• Maximum Lebesgue extension of monotone convex functions
• Lebesgue property of convex risk measures for bounded càdlàg processes
• Lebesgue property for convex risk measures on Orlicz spaces
• Monotone and cash-invariant convex functions and hulls
• Schur convex functionals: Fatou property and representation

Cites work

• A coercive James's weak compactness theorem and nonlinear variational problems
• Differentiability Properties of Utility Functions
• scientific article; zbMATH DE number 3822417 (Why is no real title available?)
• scientific article; zbMATH DE number 42091 (Why is no real title available?)
• scientific article; zbMATH DE number 50401 (Why is no real title available?)
• scientific article; zbMATH DE number 2016135 (Why is no real title available?)
• scientific article; zbMATH DE number 3232956 (Why is no real title available?)
• Infinite dimensional analysis. A hitchhiker's guide.
• Law invariant risk measures have the Fatou property
• Lebesgue property for convex risk measures on Orlicz spaces
• On convex risk measures on \(L^{p}\)-spaces
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
• Optimization of risk measures
• RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
• RISK MEASURES ON ORLICZ HEARTS
• Stochastic finance. An introduction in discrete time

Cited in

(9)

• Continuous affine support mappings for convex operators
• Mackey constraints for James's compactness theorem and risk measures
• Maximum Lebesgue extension of monotone convex functions
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
• Lebesgue property of convex risk measures for bounded càdlàg processes
• Dilatation monotonicity and convex order
• A Boolean valued analysis approach to conditional risk
• Duality and stable compactness in Orlicz-type modules
• Lower semicontinuity of monotone functionals in the mixed topology on C_b

This page was built for publication: On the Lebesgue property of monotone convex functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2452153)