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The Fatou Closedness under Model Uncertainty (1610.04085v6)
Published 13 Oct 2016 in math.FA, math.PR, and q-fin.MF
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.
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