On the Lebesgue property of monotone convex functions
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Publication:2452153
order continuityconvex risk measuresLebesgue propertymonotone convex functionperturbed James's theorem
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) Financial applications of other theories (91G80) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07)
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.
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Cited in
(9)- Dilatation monotonicity and convex order
- A Boolean valued analysis approach to conditional risk
- Duality and stable compactness in Orlicz-type modules
- 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
- Maximum Lebesgue extension of monotone convex functions
- Continuous affine support mappings for convex operators
- Mackey constraints for James's compactness theorem and risk measures
- Lower semicontinuity of monotone functionals in the mixed topology on \(C_b\)
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