On the Lebesgue Property of Monotone Convex Functions

Keita Owari

Papers from arXiv.org

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.

Date: 2013-05, Revised 2013-12
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Published in Mathematics and Financial Economics, 8, Issue 2, pp 159-167, 2014

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