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 |
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| container_title | Positivity : an international journal devoted to the theory and applications of positivity in analysis |
| container_volume | 22 |
| creator | Maggis, Marco Meyer-Brandis, Thilo Svindland, Gregor |
| description | 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. |
| doi_str_mv | 10.1007/s11117-018-0578-1 |
| format | Article |
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P
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P
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P
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P
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P
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| identifier | ISSN: 1385-1292 |
| ispartof | Positivity : an international journal devoted to the theory and applications of positivity in analysis, 2018-11, Vol.22 (5), p.1325-1343 |
| issn | 1385-1292 1572-9281 |
| language | eng |
| recordid | cdi_proquest_journals_2017545645 |
| source | SpringerLink Journals; EBSCOhost Business Source Complete |
| subjects | Calculus of Variations and Optimal Control Optimization Convexity Econometrics Economic models Fourier Analysis Mathematics Mathematics and Statistics Operator Theory Potential Theory Random variables |
| title | Fatou closedness under model uncertainty |
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