Dual representation of monotone convex functions on 𝐿⁰

DOI10.1090/S0002-9939-2011-10835-9MaRDI QIDQ3103281zbMATH OpenOpenAlexFDO

Authors Michael Kupper, Gregor Svindland

Publication date 7 December 2011

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9939-2011-10835-9

zbMATH Keywords

dualitysubgradientmonotone convex functionbipolar representation

Mathematics Subject Classification ID

Individual preferences (91B08) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Actuarial science and mathematical finance (91G99) Duality theory (optimization) (49N15)

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Cited in

(18)

• On local convexity in \(\mathbb{L}^0\) and switching probability measures
• Dual representation of quasi-convex conditional maps
• Uniform integrability and local convexity in \(\mathbb L^0\)
• Representation of quasi-monotone functionals by families of separating hyperplanes
• Duality between quasi-concave functions and monotone linkage functions
• Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
• scientific article; zbMATH DE number 2218561 (Why is no real title available?)
• Differential equations connecting VaR and CVaR
• Weak topologies for modules over rings of bounded random variables
• A simple characterization of tightness for convex solid sets of positive random variables
• No-arbitrage concepts in topological vector lattices
• On Banach spaces of vector-valued random variables and their duals motivated by risk measures
• Model spaces for risk measures
• scientific article; zbMATH DE number 6378807 (Why is no real title available?)
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• Diversification, protection of liability holders and regulatory arbitrage
• scientific article; zbMATH DE number 3961364 (Why is no real title available?)
• Maximum Lebesgue extension of monotone convex functions

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