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A pointwise bipolar theorem

Authors :
Michael Kupper
Daniel Bartl
Publication Year :
2017

Abstract

We provide a pointwise bipolar theorem for liminf-closed convex sets of positive Borel measurable functions on a sigma-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 non-tight marginals, and a superhedging duality for semistatic hedging in discrete time.

Details

Language :
English
Database :
OpenAIRE
Accession number :
edsair.doi.dedup.....a1b27c11debe5147686cb9263b0ffc27