A bipolar theorem for $L^0_+(\Om, \Cal F, \P)$

Werner Brannath, Walter Schachermayer

Publication: Working/Discussion PaperWU Working Paper

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Abstract

A consequence of the Hahn-Banach theorem is the classical bipolar theorem which states that the bipolar of a subset of a locally convex vector pace equals its closed convex hull. The space $\L$ of real-valued random variables on a probability space $\OF$ equipped with the topology of convergence in measure fails to be locally convex so that - a priori - the classical bipolar theorem does not apply. In this note we show an analogue of the bipolar theorem for subsets of the positive orthant $\LO$, if we place $\LO$ in duality with itself, the scalar product now taking values in $[0, \infty]$. In this setting the order structure of $\L$ plays an important role and we obtain that the bipolar of a subset of $\LO$ equals its closed, convex and solid hull. In the course of the proof we show a decomposition lemma for convex subsets of $\LO$ into a "bounded" and "hereditarily unbounded" part, which seems interesting in its own right.

Publication series

SeriesWorking Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Number28

WU Working Paper Series

  • Working Papers SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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