Equivalence of the minimax martingale measure

This paper states that for financial markets with continuous filtrations, the minimax local martingale measure defined by Frittelli is equivalent to the objective measure for nondecreasing but not strictly increasing utility functions if it exists, provided the dual utility function satisfies some boundedness assumptions for the relative risk aversion, and there exists an equivalent local martingale measure which has enough integrability property. The result in this paper essentially extends an earlier result of Delbaen/Schachermayer, who proved this for the case where the dual utility function is quadratic. Examples for this situation are specifically q-optimal measures for q > 1. The generalization is done using Young functions on Orlicz spaces, and proving a conditional version of the Hölder inequality in this general setup.