A pointwise bipolar theorem

Autor(en)

Daniel Bartl, Michael Kupper

Abstrakt

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.

Organisation(en)

Institut für Mathematik

Externe Organisation(en)

Universität Konstanz

Journal

Proceedings of the American Mathematical Society

Band

147

Seiten

1483-1495

Anzahl der Seiten

13

ISSN

0002-9939

DOI

https://doi.org/10.1090/proc/14231

Publikationsdatum

2019

Peer-reviewed

Ja

ÖFOS 2012

101024 Wahrscheinlichkeitstheorie, 101007 Finanzmathematik

Schlagwörter

ASJC Scopus Sachgebiete

Applied Mathematics, Allgemeine Mathematik

Link zum Portal

https://ucrisportal.univie.ac.at/de/publications/f633155c-da91-41b1-8c7f-17ebc98cd81d