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. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_22b |
| Date | January 1999 |
| Creators | Brannath, Werner, Schachermayer, Walter |
| Publisher | SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Paper, NonPeerReviewed |
| Format | application/pdf |
| Relation | http://epub.wu.ac.at/1688/ |
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