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Dual Representation of Monotone Convex Functions on L0

Please always quote using this URN:urn:nbn:de:0296-matheon-10023
  • We study monotone convex functions ψ : L0 (Ω, F, P) → (−∞, ∞], and derive a dual representation as well as conditions that ensure the existence of a σ-additive subgradient. The results are motivated by applications in economic agents’choice theory.

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Metadaten
Author:Michael Kupper, Gregor Svindland
URN:urn:nbn:de:0296-matheon-10023
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2012/01/27
Release Date:2012/01/27
Institute:Humboldt-Universität zu Berlin
MSC-Classification:46-XX FUNCTIONAL ANALYSIS (For manifolds modeled on topological linear spaces, see 57Nxx, 58Bxx) / 46Axx Topological linear spaces and related structures (For function spaces, see 46Exx) / 46A16 Not locally convex spaces (metrizable topological linear spaces, locally bounded spaces, quasi-Banach spaces, etc.)
46-XX FUNCTIONAL ANALYSIS (For manifolds modeled on topological linear spaces, see 57Nxx, 58Bxx) / 46Axx Topological linear spaces and related structures (For function spaces, see 46Exx) / 46A20 Duality theory
49-XX CALCULUS OF VARIATIONS AND OPTIMAL CONTROL; OPTIMIZATION [See also 34H05, 34K35, 65Kxx, 90Cxx, 93-XX] / 49Nxx Miscellaneous topics / 49N15 Duality theory
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Gxx Mathematical finance / 91G99 None of the above, but in this section
Preprint Number:892
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