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A Robust Version of Convex Integral Functionals

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  • Keita Owari

Abstract

We study the pointwise supremum of convex integral functionals $\mathcal{I}_{f,\gamma}(\xi)= \sup_{Q} \left( \int_\Omega f(\omega,\xi(\omega))Q(d\omega)-\gamma(Q)\right)$ on $L^\infty(\Omega,\mathcal{F},\mathbb{P})$ where $f:\Omega\times\mathbb{R}\rightarrow\overline{\mathbb{R}}$ is a proper normal convex integrand, $\gamma$ is a proper convex function on the set of probability measures absolutely continuous w.r.t. $\mathbb{P}$, and the supremum is taken over all such measures. We give a pair of upper and lower bounds for the conjugate of $\mathcal{I}_{f,\gamma}$ as direct sums of a common regular part and respective singular parts; they coincide when $\mathrm{dom}(\gamma)=\{\mathbb{P}\}$ 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.

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  • Keita Owari, 2013. "A Robust Version of Convex Integral Functionals," Papers 1305.6023, arXiv.org, revised May 2015.
  • Handle: RePEc:arx:papers:1305.6023
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    Cited by:

    1. Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.

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