Dual representation of monotone convex functions on 𝐿⁰

DOI10.1090/S0002-9939-2011-10835-9zbMath1239.46053OpenAlexW2171799561MaRDI QIDQ3103281

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) Duality theory (optimization) (49N15) Actuarial science and mathematical finance (91G99)

Related Items

Model spaces for risk measures, An analytical study of norms and Banach spaces induced by the entropic value-at-risk, On local convexity in \(\mathbb{L}^0\) and switching probability measures, Maximum Lebesgue extension of monotone convex functions, Uniform integrability and local convexity in \(\mathbb L^0\), Diversification, protection of liability holders and regulatory arbitrage, Differential equations connecting VaR and CVaR, On Banach spaces of vector-valued random variables and their duals motivated by risk measures, A simple characterization of tightness for convex solid sets of positive random variables, Weak topologies for modules over rings of bounded random variables, No-arbitrage concepts in topological vector lattices, Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Subgradients of law-invariant convex risk measures on L1
• Forward-convex convergence in probability of sequences of nonnegative random variables
• Risk Preferences and Their Robust Representation
• Application of the Radon-Nikodym Theorem to the Theory of Sufficient Statistics
• Stochastic finance. An introduction in discrete time