535. Conditional Lp-spaces and the duality of modules over f-algebras
by S. Cerreia-Vioglio, M. Kupper, F. Maccheroni, M. Marinacci, N. Vogelpoth

Motivated by dynamic asset pricing, we extend the dual pairs¬ítheory of Dieudonné(1942) and Mackey (1945) to pairs of modules over a Dedekind complete f-algebra with multiplicative unit. The main tools are:

  •  a Hahn-Banach Theorem for modules of this kind;
  •  a topology on the f-algebra that has the special feature of coinciding with the norm topology when the algebra is a Banach algebra and with the strong order topology of Filipovic, Kupper, and Vogelpoth (2009), when the algebra of all random variables on a probability space is considered.

As a leading example, we study in some detail the duality of conditional Lp-spaces.

Keywords: Dual pairs, Hahn-Banach Theorem for modules, complete L0-normed modules, automatic continuity


Last updated February 9, 2015