The Fatou Property under Model Uncertainty

Marco Maggis, Thilo Meyer-Brandis, Gregor Svindland

Published 2016-10-13Version 1

We provide a characterization in terms of Fatou property for weakly closed monotone sets in the space of $\Pcal$-quasisure bounded random variables, where $\Pcal$ is a (possibly non-dominated) class of probability measures. Our results can be applied to obtain a topological deduction of the First Fundamental Theorem of Asset Pricing for discrete time processes and the robust dual representation of (quasi)convex increasing functionals.