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Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures

Tom 249 / 2019

Niushan Gao, Denny H. Leung, Foivos Xanthos Studia Mathematica 249 (2019), 329-347 MSC: 46E30, 46A20. DOI: 10.4064/sm180404-3-1 Opublikowany online: 10 June 2019

Streszczenie

We study various types of closedness of convex sets in an Orlicz space $L^\varPhi$ and its heart $H^\varPhi$ and their relations to a natural version of the Krein–Šmulian property. Let $L^\varPsi$ be the conjugate Orlicz space and $H^\varPsi$ be the heart of $L^\varPsi$. Precisely, we show that the following statements are equivalent:

(i) Every order closed convex set in $L^\varPhi$ is $\sigma(L^\varPhi,L^\varPsi)$-closed.

(ii) Every boundedly a.s. closed convex set in $H^\varPhi$ is $\sigma(H^\varPhi,H^\varPsi)$-closed.

(iii) Every $\sigma(L^\varPhi,L^\varPsi)$-sequentially closed convex set in $L^\varPhi$ is $\sigma(L^\varPhi,L^\varPsi)$-closed.

(iv) Every $\sigma(H^\varPhi,H^\varPsi)$-sequentially closed convex set in $H^\varPhi$ is $\sigma(H^\varPhi,H^\varPsi)$-closed.

(v) $\sigma(L^\varPhi,L^\varPsi)$ (respectively, $\sigma(H^\varPhi,H^\varPsi)$) has the Krein–Šmulian property.

(vi) Either $\varPhi$ or its conjugate $\varPsi$ satisfies the $\Delta_2$-condition.

The implication (i)$\Rightarrow$(vi) solves an open question raised by Owari (2014) and has applications in the dual representation theory of risk measures.

Autorzy

  • Niushan GaoDepartment of Mathematics
    Ryerson University
    350 Victoria St.
    Toronto, ON, M5B 2K3, Canada
    e-mail
  • Denny H. LeungDepartment of Mathematics
    National University of Singapore
    Singapore 117543
    e-mail
  • Foivos XanthosDepartment of Mathematics
    Ryerson University
    350 Victoria St.
    Toronto, ON, M5B 2K3, Canada
    e-mail

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