On local convexity in $\mathbb{L}^0$ and switching probability measures
Abstract
In the paper, we investigate the following fundamental question. For a set in , when does there exist an equivalent probability measure such that is uniformly integrable in . Specifically, let be a convex bounded positive set in . Kardaras [6] asked the following two questions: (1) If the relative -topology is locally convex on , does there exist such that the - and -topologies agree on ? (2) If is closed in the -topology and there exists such that the - and -topologies agree on , does there exist such that is -uniformly integrable? In the paper, we show that, no matter 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 satisfying these desired properties. We also investigate the peculiar effects of being positive.
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}
}