Convex Functions on Dual Orlicz Spaces
Abstract
In the dual $L_{\Phi^*}$ of a $\Delta_2$Orlicz space $L_\Phi$, that we call a dual Orlicz space, we show that a proper (resp. finite) convex function is lower semicontinuous (resp. continuous) for the Mackey topology... [ view full abstract ]
In the dual $L_{\Phi^*}$ of a $\Delta_2$Orlicz space $L_\Phi$, that we call a dual Orlicz space, we show that a proper (resp. finite) convex function is lower semicontinuous (resp. continuous) for the Mackey topology $\tau(L_{\Phi^*},L_\Phi)$ if and only if on each order interval $[\zeta,\zeta]=\{\xi: \zeta\leq \xi\leq\zeta\}$ ($\zeta\in L_{\Phi^*}$), it is lower semicontinuous (resp. continuous) for the topology of convergence in probability. For this purpose, we provide the following Komlós type result: every norm bounded sequence $(\xi_n)_n$ in $L_{\Phi^*}$ admits a sequence of forward convex combinations $\bar\xi_n\in\mathrm{conv}(\xi_n,\xi_{n+1},...)$ such that $\sup_n\bar\xi_n\in L_{\Phi^*}$ and $\bar\xi_n$ converges a.s.^{}
Authors

Keita Owari
(Ritsumeikan University)

Freddy Delbaen
(ETH Zurich)
Topic Areas
Optimal Investment , Optimization , Risk Measures
Session
MOPUI » Risk Measures: Theory and Practice (14:30  Monday, 16th July, Ui Chadhain)
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