Fatou closedness under model uncertainty |
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Authors: | Marco Maggis Thilo Meyer-Brandis Gregor Svindland |
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Institution: | 1.Department of Mathematics,University of Milan,Milan,Italy;2.Mathematics Institute,LMU Munich,Munich,Germany |
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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. |
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