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The Fatou Closedness under Model Uncertainty

Marco Maggis, Thilo Meyer-Brandis and Gregor Svindland

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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
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