Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures

DOI10.4064/SM180404-3-1zbMATH Open1445.46032arXiv1610.08806OpenAlexW3122766989WikidataQ127734878 ScholiaQ127734878MaRDI QIDQ5237161FDOQ5237161

Authors: Niushan Gao, Denny H. Leung, Foivos Xanthos 

Publication date: 16 October 2019

Published in: Studia Mathematica (Search for Journal in Brave)

Abstract: Let $(Phi,Psi)$ be a conjugate pair of Orlicz functions. A set in the Orlicz space $L^{P}hi$ is said to be order closed if it is closed with respect to dominated convergence of sequences of functions. A well known problem arising from the theory of risk measures in financial mathematics asks whether order closedness of a convex set in $L^{P}hi$ characterizes closedness with respect to the topology $sigma(L^{P}hi,L^{P}si)$. (See [26, p.3585].) In this paper, we show that for a norm bounded convex set in $L^{P}hi$, order closedness and $sigma(L^{P}hi,L^{P}si)$-closedness are indeed equivalent. In general, however, coincidence of order closedness and $sigma(L^{P}hi,L^{P}si)$-closedness of convex sets in $L^{P}hi$ is equivalent to the validity of the Krein-Smulian Theorem for the topology $sigma(L^{P}hi,L^{P}si)$; that is, a convex set is $sigma(L^{P}hi,L^{P}si)$-closed if and only if it is closed with respect to the bounded-$sigma(L^{P}hi,L^{P}si)$ topology. As a result, we show that order closedness and $sigma(L^{P}hi,L^{P}si)$-closedness of convex sets in $L^{P}hi$ are equivalent if and only if either $Phi$ or $Psi$ satisfies the $Delt{a}_2$-condition. Using this, we prove the surprising result that: emph{If (and only if) $Phi$ and $Psi$ both fail the $Delt{a}_2$-condition, then there exists a coherent risk measure on $L^{P}hi$ that has the Fatou property but fails the Fenchel-Moreau dual representation with respect to the dual pair $(L^{P}hi,L^{P}si)$}. A similar analysis is carried out for the dual pair of Orlicz hearts $(H^{P}hi,H^{P}si)$.

Full work available at URL: https://arxiv.org/abs/1610.08806

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zbMATH Keywords

risk measuresOrlicz spacesBanach latticesOrlicz heartsorder closuresorder closed setssequentially closed setsKrein-\(\check{}\) smulian property

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) Duality theory for topological vector spaces (46A20)

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Cited In (15)

• Dual representations for systemic risk measures based on acceptance sets
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• Surplus-invariant risk measures
• Convex risk measures on Orlicz spaces: inf-convolution and shortfall
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
• On closedness of convex sets in Banach lattices
• Dual characterization of properties of risk measures on Orlicz hearts
• The order-type Banach-Saks properties
• Convex functions on dual Orlicz spaces
• \(um\)-topology in multi-normed vector lattices
• Automatic Fatou property of law-invariant risk measures
• On closedness of law-invariant convex sets in rearrangement invariant spaces
• On the C-property and \(w^*\)-representations of risk measures
• The strong Fatou property of risk measures
• Smallest order closed sublattices and option spanning

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