On the Lebesgue Property of Monotone Convex Functions

Keita Owari
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Keita Owari: The University of Tokyo

No CARF-F-317, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

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.

Pages: 9 pages
Date: 2013-05
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Citations: View citations in EconPapers (1)

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Working Paper: On the Lebesgue Property of Monotone Convex Functions (2013)
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