Conditional Lp-spaces and the duality of modules over f-algebras

Simone Cerreia-Vioglio, M. Kupper, F. Maccheroni, Massimo Marinacci and N. Vogelpoth

No 535, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: Motivated by dynamic asset pricing, we extend the dual pairs?theory of Dieudonné(1942) and Mackey (1945) to pairs of modules over a Dedekind complete f-algebra with multiplicative unit. The main tools are: a Hahn-Banach Theorem for modules of this kind; a topology on the f-algebra that has the special feature of coinciding with the norm topology when the algebra is a Banach algebra and with the strong order topology of Filipovic, Kupper, and Vogelpoth (2009), when the algebra of all random variables on a probability space is considered. As a leading example, we study in some detail the duality of conditional Lp-spaces. Keywords: Dual pairs, Hahn-Banach Theorem for modules, complete L0-normed modules, automatic continuity

Date: 2014
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