From the Farkas Lemma to the Hahn–Banach Theorem

This paper provides new versions of the Farkas lemma characterizing those inequalities of the form f(x) ≥ 0 which are consequences of a composite convex inequality (S ◦ g)(x) ≤ 0 on a closed convex subset of a given locally convex topological vector space X, where f is a proper lower semicontinuous convex function defined on X, S is an extended sublinear function, and g is a vector-valued S-convex function. In parallel, associated versions of a stable Farkas lemma, considering arbitrary linear perturbations of f, are also given. These new versions of the Farkas lemma, and their corresponding stable forms, are established under the weakest constraint qualification conditions (the so-called closedness conditions), and they are actually equivalent to each other, as well as equivalent to an extended version of the so-called Hahn–Banach–Lagrange theorem, and its stable version, correspondingly. It is shown that any of them implies analytic and algebraic versions of the Hahn–Banach theorem and the Mazur–Orlicz theorem for extended sublinear functions.This research was partially supported by MINECO of Spain, grant MTM2011-29064-C03-02, and by the NAFOSTED of Vietnam

- A COMPUTATIONAL APPROACH TO THE FUNDAMENTAL THEOREM OF ASSET PRICING IN A SINGLE-PERIOD MARKET.

In this paper we provide a new approach to the Fundamental Theorem of As-set Pricing. The proofof this result is usually based on Projection (Separation) Theorems and is far more intuitive. Ourapproach follow the relation between the projection problem an equivalent least squares problem.More precisely, we will use and iterative procedure in order to obtain solutions of a bounded leastsquare problem. This solutions will give, under some conditions, either the state price vector orthe arbitrage opportunity of the problem under consideration.Asset Pricing; Arbitrage; Mathematical Finance

The tropical analogue of polar cones

We study the max-plus or tropical analogue of the notion of polar: the polar of a cone represents the set of linear inequalities satisfied by its elements. We establish an analogue of the bipolar theorem, which characterizes all the inequalities satisfied by the elements of a tropical convex cone. We derive this characterization from a new separation theorem. We also establish variants of these results concerning systems of linear equalities.Comment: 21 pages, 3 figures, example added, figures improved, notation change