English

A Robust Version of Convex Integral Functionals

Functional Analysis 2016-11-21 v3 Optimization and Control Probability Computational Finance

Abstract

We study the pointwise supremum of convex integral functionals If,γ(ξ)=supQ(Ωf(ω,ξ(ω))Q(dω)γ(Q))\mathcal{I}_{f,\gamma}(\xi)= \sup_{Q} \left( \int_\Omega f(\omega,\xi(\omega))Q(d\omega)-\gamma(Q)\right) on L(Ω,F,P)L^\infty(\Omega,\mathcal{F},\mathbb{P}) where f:Ω×RRf:\Omega\times\mathbb{R}\rightarrow\overline{\mathbb{R}} is a proper normal convex integrand, γ\gamma is a proper convex function on the set of probability measures absolutely continuous w.r.t. P\mathbb{P}, and the supremum is taken over all such measures. We give a pair of upper and lower bounds for the conjugate of If,γ\mathcal{I}_{f,\gamma} as direct sums of a common regular part and respective singular parts; they coincide when dom(γ)={P}\mathrm{dom}(\gamma)=\{\mathbb{P}\} as Rockafellar's result, while both inequalities can generally be strict. We then investigate when the conjugate eliminates the singular measures, which a fortiori yields the equality in bounds, and its relation to other finer regularity properties of the original functional and of the conjugate.

Keywords

Cite

@article{arxiv.1305.6023,
  title  = {A Robust Version of Convex Integral Functionals},
  author = {Keita Owari},
  journal= {arXiv preprint arXiv:1305.6023},
  year   = {2016}
}

Comments

Minor typos are corrected. To appear in Journal of Convex Analysis

R2 v1 2026-06-22T00:22:43.180Z