Fatou closedness under model uncertainty

Maggis, Marco; Meyer-Brandis, Thilo und Svindland, Gregor (2018): Fatou closedness under model uncertainty. In: Positivity, Bd. 22, Nr. 5: S. 1325-1343

Abstract

We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of 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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1385-1292
• Sprache: Englisch