Stability in locally L0-convex modules and a conditional version of James' compactness theorem

Abstract

Locally L0-convex modules were introduced in Filipovic et al. (2009) [10] as the analytic basis for the study of conditional risk measures. Later, the algebra of conditional sets was introduced in Drapeau et al. (2016) [8]. In this paper we study locally L0-convex modules, and find exactly which subclass of locally L0-convex modules can be identified with the class of locally convex vector spaces within the context of conditional set theory. Second, we provide a version of the classical James’ theorem of characterization of weak compactness for conditional Banach spaces. Finally, we state a conditional version of the Fatou and Lebesgue properties for conditional convex risk measures and, as application of the developed theory, we establish a version of the so-called Jouini–Schachermayer–Touzi theorem for robust representation of conditional convex risk measures defined on a L∞-type module.