ワーキングペーパー

数量ファイナンス

F-series

作成:

番号:CARF-F-317

On the Lebesgue Property of Monotone Convex Functions (Forthcoming in “Math. Financ. Econ.”)

著者:Keita Owari

Abstract

The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space, (2) the attainment of the supremum in the dual representation by order-continuous linear functionals. This generalizes and unifies several recent results obtained in the context of convex risk measures.

ダウンロード

全文ダウンロード