Bipolar Theorems for Sets of Non-negative Random Variables

Research output: Working paper/Preprint › Working paper/Discussion paper

Authors

  • Gregor Svindland
  • Johannes Langner

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Original languageEnglish
Publication statusE-pub ahead of print - 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.

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

Research output: Working paper/Preprint › Working paper/Discussion paper

Svindland, G., & Langner, J. (2022). Bipolar Theorems for Sets of Non-negative Random Variables. Advance online publication. 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.
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