Fatou closedness under model uncertainty

Fatou closedness under model uncertainty

We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of P -quasisure bounded random variables, where P is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem...

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Veröffentlicht in:Positivity : an international journal devoted to the theory and applications of positivity in analysis 2018-11, Vol.22 (5), p.1325-1343
Hauptverfasser: Maggis, Marco, Meyer-Brandis, Thilo, Svindland, Gregor
Format: Artikel
Sprache:eng
Schlagworte:
Calculus of Variations and Optimal Control
Optimization
Convexity
Econometrics
Economic models
Fourier Analysis
Mathematics
Mathematics and Statistics
Operator Theory
Potential Theory
Random variables
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Beschreibung
Zusammenfassung:We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of P -quasisure bounded random variables, where P is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.
ISSN:1385-1292
1572-9281
DOI:10.1007/s11117-018-0578-1