Choquet's theorem by strict convexity

ID: choquet-s-theorem-by-strict-convexity

Maximize the integral of a continuous strictly convex function among probability measures with a fixed barycenter. The supporting measure lemma for affine upper envelopes implies that the maximizing measure has zero integral of the nonnegative envelope gap. Strict convexity makes this gap positive at every nonextreme point, so the measure is concentrated on the extreme boundary. Metrizability makes that boundary Borel and supplies the continuous strictly convex function.

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