Bipolar Theorems for Sets of Non-negative Random Variables

Publikation: Arbeitspapier/Preprint › Arbeitspapier/Diskussionspapier

Autoren

  • Gregor Svindland
  • Johannes Langner

Organisationseinheiten

Forschungs-netzwerk anzeigen

Details

OriginalspracheEnglisch
PublikationsstatusElektronisch veröffentlicht (E-Pub) - 2022

Abstract

This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set of all quasi-sure equivalence classes of non-negative random variables, without any further conditions on the underlying measure space. This generalizes and unifies existing bipolar theorems proved under stronger assumptions on the robust framework. Applications are in areas of robust financial modeling.

Zitieren

Bipolar Theorems for Sets of Non-negative Random Variables. / Svindland, Gregor; Langner, Johannes.
2022.

Publikation: Arbeitspapier/Preprint › Arbeitspapier/Diskussionspapier

Svindland, G., & Langner, J. (2022). Bipolar Theorems for Sets of Non-negative Random Variables. Vorabveröffentlichung online. https://doi.org/10.48550/arXiv.2212.14259
Svindland G, Langner J. Bipolar Theorems for Sets of Non-negative Random Variables. 2022. Epub 2022. doi: 10.48550/arXiv.2212.14259
Svindland, Gregor ; Langner, Johannes. / Bipolar Theorems for Sets of Non-negative Random Variables. 2022.
Download
@techreport{d581f74a04af47bda0efac8f968d518b,
title = "Bipolar Theorems for Sets of Non-negative Random Variables",
abstract = "This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set of all quasi-sure equivalence classes of non-negative random variables, without any further conditions on the underlying measure space. This generalizes and unifies existing bipolar theorems proved under stronger assumptions on the robust framework. Applications are in areas of robust financial modeling.",
author = "Gregor Svindland and Johannes Langner",
year = "2022",
doi = "10.48550/arXiv.2212.14259",
language = "English",
type = "WorkingPaper",

}

Download

TY - UNPB

T1 - Bipolar Theorems for Sets of Non-negative Random Variables

AU - Svindland, Gregor

AU - Langner, Johannes

PY - 2022

Y1 - 2022

N2 - This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set of all quasi-sure equivalence classes of non-negative random variables, without any further conditions on the underlying measure space. This generalizes and unifies existing bipolar theorems proved under stronger assumptions on the robust framework. Applications are in areas of robust financial modeling.

AB - This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set of all quasi-sure equivalence classes of non-negative random variables, without any further conditions on the underlying measure space. This generalizes and unifies existing bipolar theorems proved under stronger assumptions on the robust framework. Applications are in areas of robust financial modeling.

U2 - 10.48550/arXiv.2212.14259

DO - 10.48550/arXiv.2212.14259

M3 - Working paper/Discussion paper

BT - Bipolar Theorems for Sets of Non-negative Random Variables

ER -