We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of P-quasisure bounded random variables, where P 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.
Fatou closedness under model uncertainty / M. Maggis, T. Meyer-Brandis, G. Svindland. - In: POSITIVITY. - ISSN 1385-1292. - 22:5(2018 Nov), pp. 1325-1343. [10.1007/s11117-018-0578-1]
Fatou closedness under model uncertainty
M. Maggis;
2018
Abstract
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of P-quasisure bounded random variables, where P 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.
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