Conditional analysis on R^d

DOI10.1007/978-3-662-48670-2_6MaRDI QIDQ2805757zbMATHOpenAlexFDO

Authors Patrick Cheridito, Michael Kupper, Nicolas Vogelpoth

Publication date 13 May 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.0747

zbMATH Keywords

random sets\(L^0\)-modulesconditional optimization\(L^0\)-convex conjugation\(L^0\)-convexity\(L^0\)-differentiability\(L^0\)-subgradientsseparating \(L^0\)-hyperplanes

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Theorems of Hahn-Banach type; extension and lifting of functionals and operators (46A22) Other special types of modules and ideals in commutative rings (13C13) 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: This paper provides versions of classical results from linear algebra, real analysis and convex analysis in a free module of finite rank over the ring $L^0$ of measurable functions on a $sigma$-finite measure space. We study the question whether a submodule is finitely generated and introduce the more general concepts of $L^0$-affine sets, $L^0$-convex sets, $L^0$-convex cones, $L^0$-hyperplanes, $L^0$-half-spaces and $L^0$-convex polyhedral sets. We investigate orthogonal complements, orthogonal decompositions and the existence of orthonormal bases. We also study $L^0$-linear, $L^0$-affine, $L^0$-convex and $L^0$-sublinear functions and introduce notions of continuity, differentiability, directional derivatives and subgradients. We use a conditional version of the Bolzano-Weierstrass theorem to show that conditional Cauchy sequences converge and give conditions under which conditional optimization problems have optimal solutions. We prove results on the separation of $L^0$-convex sets by $L^0$-hyperplanes and study $L^0$-convex conjugate functions. We provide a result on the existence of $L^0$-subgradients of $L^0$-convex functions, prove a conditional version of the Fenchel-Moreau theorem and study conditional inf-convolutions.

Recommendations

• Random convex analysis (II): Continuity and subdifferentiability theorems in <italic>L</italic><sup>0</sup>-pre-barreled random locally convex modules
• Separation and duality in locally \(L^0\)-convex modules
• Random convex analysis. I: Separation and Fenchel-Moreau duality in random locally convex modules
• Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
• On random convex analysis

Cites work

• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• Optimal consumption and investment in incomplete markets with general constraints
• Recent progress in random metric theory and its applications to conditional risk measures
• Relations between some basic results derived from two kinds of topologies for a random locally convex module
• Separation and duality in locally \(L^0\)-convex modules

Cited in

(13)

• The algebra of conditional sets and the concepts of conditional topology and compactness
• Pathwise dynamic programming
• Random sets and Choquet-type representations
• Conditional cores and conditional convex hulls of random sets
• Equilibrium pricing in incomplete markets under translation invariant preferences
• Conditional Analysis and a Principal-Agent Problem
• A Boolean valued analysis approach to conditional risk
• Parameter-dependent stochastic optimal control in finite discrete time
• \(L^0\)-convex compactness and its applications to random convex optimization and random variational inequalities
• Risk arbitrage and hedging to acceptability under transaction costs
• An uncountable Furstenberg–Zimmer structure theory
• Measures and integrals in conditional set theory
• An uncountable ergodic Roth theorem and applications

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