Maximum Lebesgue extension of monotone convex functions

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• 作者：Keita Owari
• 关键词：Monotone convex functions ; Lebesgue property ; Order-continuity ; Order-continuous Banach lattices ; Uniform integrability ; Convex risk measures
• 刊名：Journal of Functional Analysis
• 出版年：15 March, 2014
• 年：2014
• 卷：266
• 期：6
• 页码：3572-3611
• 全文大小：550 K

文摘

Given a monotone convex function on the space of essentially bounded random variables with the Lebesgue property (order continuity), we consider its extension preserving the Lebesgue property to as big solid vector space of random variables as possible. We show that there exists a maximum such extension, with explicit construction, where the maximum domain of extension is obtained as a (possibly proper) subspace of a natural Orlicz-type space, characterized by a certain uniform integrability property. As an application, we provide a characterization of the Lebesgue property of monotone convex function on arbitrary solid spaces of random variables in terms of uniform integrability and a 鈥渘ice鈥?dual representation of the function.