Maggis, Marco; Meyer-Brandis, Thilo
ORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor
(2018):
Fatou closedness under model uncertainty.
In: Positivity, Vol. 22, No. 5: pp. 1325-1343
Additional link: https://doi.org/10.48550/arXiv.1610.04085
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 > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 1385-1292 |
| Language: | English |
| Item ID: | 66385 |
| Date Deposited: | 19. Jul 2019 12:19 |
| Last Modified: | 12. Sep 2024 12:33 |
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