The Fatou Closedness under Model Uncertainty
Functional Analysis
2018-10-11 v6 Probability
Mathematical Finance
Abstract
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of -quasisure bounded random variables, where is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.
Cite
@article{arxiv.1610.04085,
title = {The Fatou Closedness under Model Uncertainty},
author = {Marco Maggis and Thilo Meyer-Brandis and Gregor Svindland},
journal= {arXiv preprint arXiv:1610.04085},
year = {2018}
}