Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 326 / 3 / 2 / a / Solution

For a functional $E$ on a real Banach space, its convex conjugate is defined on the dual space byHere $⟨p,u⟩$ is the dual pairing. For complex spaces, use its real part, equivalently regard the space as real for convex analysis. The convex conjugate is a convex function, being the supremum of affine functions of $p$, even when $E$ itself is not convex.