A simple characterization of tightness for convex solid sets of positive random variables
Probability
2017-04-04 v1
Abstract
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient that it is radially bounded, i.e. that every ray passing through one of its elements eventually leaves the set. The result is motivated by problems arising in mathematical finance.
Keywords
Cite
@article{arxiv.1704.00257,
title = {A simple characterization of tightness for convex solid sets of positive random variables},
author = {Pablo Koch-Medina and Cosimo Munari and Mario Šikić},
journal= {arXiv preprint arXiv:1704.00257},
year = {2017}
}