{
  "id": "1610.04085",
  "version": "v1",
  "published": "2016-10-13T14:01:25.000Z",
  "updated": "2016-10-13T14:01:25.000Z",
  "title": "The Fatou Property under Model Uncertainty",
  "authors": [
    "Marco Maggis",
    "Thilo Meyer-Brandis",
    "Gregor Svindland"
  ],
  "categories": [
    "math.FA",
    "math.PR",
    "q-fin.MF"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-10-13T14:01:25.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "fatou property",
      "model uncertainty",
      "quasisure bounded random variables",
      "first fundamental theorem",
      "discrete time processes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}