# The Fatou Closedness under Model Uncertainty

Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland

Papers from arXiv.org

Abstract: We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $\mathcal{P}$-quasisure bounded random variables, where $\mathcal{P}$ 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.

Date: 2016-10, Revised 2018-10
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text