A pointwise bipolar theorem

Daniel Bartl; Michael Kupper

doi:10.1090/proc/14231

A pointwise bipolar theorem

Daniel Bartl, Michael Kupper

Institut für Mathematik

Veröffentlichungen: Beitrag in Fachzeitschrift › Artikel › Peer Reviewed

Abstract

We provide a pointwise bipolar theorem for lim inf-closed convex sets of positive Borel measurable functions on a σ-compact metric space without the assumption that the polar is a tight set of measures. As applications we derive a version of the transport duality under nontight marginals, and a superhedging duality for semistatic hedging in discrete time.

Originalsprache	Englisch
Seiten (von - bis)	1483-1495
Seitenumfang	13
Fachzeitschrift	Proceedings of the American Mathematical Society
Jahrgang	147
Ausgabenummer	4
DOIs	https://doi.org/10.1090/proc/14231
Publikationsstatus	Veröffentlicht - 2019

ÖFOS 2012

101024 Wahrscheinlichkeitstheorie
101007 Finanzmathematik

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10.1090/proc/14231

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KW - Robust finance

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