Abstract
We extend to the framework of locally -convex modules some results from the classical convex analysis. Namely, randomized versions of the Mazur lemma and the Krein-Šmulian theorem under mild stability properties are provided.
References
- P. Artzner, F. Delbaen, J.-M. Eber, D. Heath: Coherent risk measures, Math. Finance 9 (1999) 203–228.https://doi.org/10.1111/1467-9965.00068Google Scholar
- J. Bion-Nadal: Conditional risk measure and robust representation of convex conditional risk measures, CMAP Preprint 557 (2004).Google Scholar
- F. Delbaen: Monetary Utility Functions, University of Osaka, Osaka (2011).Google Scholar
- F. Delbaen, W. Schachermayer: The Mathematics of Arbitrage, Springer-Verlag, Berlin (2006).Google Scholar
- K. Detlefsen, G. Scandolo: Conditional and dynamic convex risk measures, Finance Stoch. 9 (2005) 539–561.https://doi.org/10.1007/s00780-005-0159-6Google Scholar
- S. Drapeau, A. Jamneshan, M. Karliczek, M. Kupper: The algebra of conditional sets and the concepts of conditional topology and compactness, J. Math. Anal. Appl. 437(1) (2016) 561–589.https://doi.org/10.1016/j.jmaa.2015.11.057Google Scholar
- K.-T. Eisele, S. Taieb: Weak topologies for modules over rings of bounded random variables, J. Math. Anal. Appl. 421(2) (2015) 1334–1357.https://doi.org/10.1016/j.jmaa.2014.07.062Google Scholar
- D. Filipovic, M. Kupper, N. Vogelpoth: Separation and duality in locally L0 - convex module, J. Funct. Anal. 256 (2009) 3996–4029.https://doi.org/10.1016/j.jfa.2008.11.015Google Scholar
- D. Filipovic, M. Kupper, N. Vogelpoth: Approches to conditional risk, SIAM J. Financial Math. (2012) 402–432.https://doi.org/10.1137/090773076Google Scholar
- H. Föllmer, A. Schied: Convex measures of risk and trading constraints, Finance Stoch. 6(4) (2002) 429–447.https://doi.org/10.1007/s007800200072Google Scholar
- H. Föllmer, A. Schied: Stochastic Finance: an Introduction in Discrete Time, Walter de Gruyter, Berlin (2011).https://doi.org/10.1515/9783110218053Google Scholar
- M. Fritelli, E. Gianin: Putting order in risk measures, J. Banking Finance 26 (2002) 1473–1486.https://doi.org/10.1016/S0378-4266(02)00270-4Google Scholar
- T. Guo: The relation of Banach–Alaoglu Theorem and Banach–Bourbaki–Kakutani–Šmulian Theorem in complete random normed modules to stratification structure, Sci. China Ser. A 51 (2008) 1651–1663.https://doi.org/10.1007/s11425-008-0047-6Google Scholar
- T. Guo: Relations between some basic results derived from two kids of topologies for a random locally convex module, J. Funct. Anal. 258 (2010) 3024–-3047.https://doi.org/10.1016/j.jfa.2010.02.002Google Scholar
- T. Guo, X. Chen: Random duality, Science in China Series A: Mathematics 52(10) (2009) 2084–2098.https://doi.org/10.1007/s11425-009-0149-9Google Scholar
- T. Guo, G. Shi: The algebraic structure of finitely generated L0 (F, K)-modules and the Helly theorem in random normed modules, J. Math. Anal. Appl. 381(2) (2011) 833–842.https://doi.org/10.1016/j.jmaa.2011.03.069Google Scholar
- T. Guo, H. Xiao, X. Chen: A basic strict separation theorem in random locally convex modules, Nonlinear Anal.: Theory, Methods Appl. 71(9) (2009) 3794–3804.https://doi.org/10.1016/j.na.2009.02.038Google Scholar
- T. Guo, S. Zhao, X. Zeng: On random convex analysis – the analytic foundation of the module approach to conditional risk measures, arXiv preprint 1210.1848 (2012).Google Scholar
- T. Guo, S. Zhao, X. Zeng: The relations among the three kinds of conditional risk measures, Sci. China Math. 57(8) (2014) 1753–1764.https://doi.org/10.1007/s11425-014-4840-0Google Scholar
- T. Guo, S. Zhao, X. Zeng: Random convex analysis (I): separation and Fenchel-Moreau duality in random locally convex modules, arXiv preprint 1503.08695 (2015).Google Scholar
- T. Guo, S. Zhao, X. Zeng: Random convex analysis (II): continuity and subdifferentiability theorems in L0 -pre-barreled random locally convex modules, arXiv preprint 1503.08637 (2015).Google Scholar
- R. Haydon, M. Levy, Y. Raynaud: Randomly Normed Spaces, Hermann, Paris (1991).Google Scholar
- J. Orihuela, J. M. Zapata: Stability in locally L0 -convex modules and a conditional version of James’ compactness theorem, J. Math. Anal. Appl. 452(2) (2017) 1101–1127.https://doi.org/10.1016/j.jmaa.2017.03.048Google Scholar
- M. Wu, T. Guo: A counterexample shows that not every locally L0 -convex topology is necessarily induced by a family of L0 -seminorms, arXiv preprint 1501.04400 (2015).Google Scholar
- J. M. Zapata: On the characterization of locally L0 -convex topologies induced by a family of L0 -seminorms, J. Convex Analysis 24(2) (2017) 383–391.https://doi.org/10.68381/jca24026Google Scholar
Suggested citation
Published by Heldermann Verlag, 2018. Rights now held by Banach Press LLC.
