English

On local convexity in $\mathbb{L}^0$ and switching probability measures

Probability 2019-08-20 v2 Functional Analysis

Abstract

In the paper, we investigate the following fundamental question. For a set K\mathcal{K} in L0(P)\mathbb{L}^0(\mathbb{P}), when does there exist an equivalent probability measure Q\mathbb{Q} such that K\mathcal{K} is uniformly integrable in L1(Q)\mathbb{L}^1(\mathbb{Q}). Specifically, let K\mathcal{K} be a convex bounded positive set in L1(P)\mathbb{L}^1(\mathbb{P}). Kardaras [6] asked the following two questions: (1) If the relative L0(P)\mathbb{L}^0(\mathbb{P})-topology is locally convex on K\mathcal{K}, does there exist QP\mathbb{Q}\sim \mathbb{P} such that the L0(Q)\mathbb{L}^0(\mathbb{Q})- and L1(Q)\mathbb{L}^1(\mathbb{Q})-topologies agree on K{\mathcal{K}}? (2) If K\mathcal{K} is closed in the L0(P)\mathbb{L}^0(\mathbb{P})-topology and there exists QP\mathbb{Q}\sim \mathbb{P} such that the L0(Q)\mathbb{L}^0(\mathbb{Q})- and L1(Q)\mathbb{L}^1(\mathbb{Q})-topologies agree on K\mathcal{K}, does there exist QP\mathbb{Q}'\sim \mathbb{P} such that K\mathcal{K} is Q\mathbb{Q}'-uniformly integrable? In the paper, we show that, no matter K\mathcal{K} is positive or not, the first question has a negative answer in general and the second one has a positive answer. In addition to answering these questions, we establish probabilistic and topological characterizations of existence of QP\mathbb{Q}\sim\mathbb{P} satisfying these desired properties. We also investigate the peculiar effects of K\mathcal{K} being positive.

Keywords

Cite

@article{arxiv.1902.00992,
  title  = {On local convexity in $\mathbb{L}^0$ and switching probability measures},
  author = {Niushan Gao and Denny H. Leung and Foivos Xanthos},
  journal= {arXiv preprint arXiv:1902.00992},
  year   = {2019}
}
R2 v1 2026-06-23T07:30:56.951Z