Commonotonicity and $L^1$ Random Variables
Probability
2019-05-14 v1
Abstract
It is proved that in suitable filtrations every pair of integrable random variables is the conditional expectation of a pair of commonotone integrable random variables.
Cite
@article{arxiv.1905.04861,
title = {Commonotonicity and $L^1$ Random Variables},
author = {Freddy Delbaen},
journal= {arXiv preprint arXiv:1905.04861},
year = {2019}
}
Comments
3 pages