A Multidimensional Fatou Lemma for Conditional Expectations
Optimization and Control
2018-11-05 v1
Abstract
The classical multidimensional version of Fatou's lemma (Schmeidler 1970) originally obtained for unconditional expectations and the standard non-negative cone in a finite-dimensional linear space is extended to conditional expectations and general closed pointed cones.
Cite
@article{arxiv.1811.00640,
title = {A Multidimensional Fatou Lemma for Conditional Expectations},
author = {E. Babaei and I. V. Evstigneev and K. R. Schenk-Hoppé},
journal= {arXiv preprint arXiv:1811.00640},
year = {2018}
}
Comments
9 pages