| Maggis, Marco; Meyer-Brandis, Thilo; Svindland, Gregor (2018): Fatou closedness under model uncertainty. In: Positivity, Vol. 22, No. 5: pp. 1325-1343 |
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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.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 1385-1292 |
| Language: | English |
| ID Code: | 66385 |
| Deposited On: | 19. Jul 2019 12:19 |
| Last Modified: | 04. Nov 2020 13:47 |
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