On the Lebesgue property of monotone convex functions

DOI10.1007/S11579-013-0111-ZzbMATH Open1302.46018arXiv1305.2271OpenAlexW2098308008MaRDI QIDQ2452153FDOQ2452153

Authors: Keita Owari 

Publication date: 30 May 2014

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

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.

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

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zbMATH Keywords

order continuityconvex risk measuresLebesgue propertymonotone convex functionperturbed 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) Financial applications of other theories (91G80) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07)

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Cited In (4)

• Булевозначный подход к анализу условного риска
• Duality and stable compactness in Orlicz-type modules
• Continuous affine support mappings for convex operators
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures

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