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On local convexity in $\mathbb{L}^0$ and switching probability measures

Authors :
Gao, Niushan
Leung, Denny H.
Xanthos, Foivos
Publication Year :
2019

Abstract

In the paper, we investigate the following fundamental question. For a set $\mathcal{K}$ in $\mathbb{L}^0(\mathbb{P})$, when does there exist an equivalent probability measure $\mathbb{Q}$ such that $\mathcal{K}$ is uniformly integrable in $\mathbb{L}^1(\mathbb{Q})$. Specifically, let $\mathcal{K}$ be a convex bounded positive set in $\mathbb{L}^1(\mathbb{P})$. Kardaras [6] asked the following two questions: (1) If the relative $\mathbb{L}^0(\mathbb{P})$-topology is locally convex on $\mathcal{K}$, does there exist $\mathbb{Q}\sim \mathbb{P}$ such that the $\mathbb{L}^0(\mathbb{Q})$- and $\mathbb{L}^1(\mathbb{Q})$-topologies agree on ${\mathcal{K}}$? (2) If $\mathcal{K}$ is closed in the $\mathbb{L}^0(\mathbb{P})$-topology and there exists $\mathbb{Q}\sim \mathbb{P}$ such that the $\mathbb{L}^0(\mathbb{Q})$- and $\mathbb{L}^1(\mathbb{Q})$-topologies agree on $\mathcal{K}$, does there exist $\mathbb{Q}'\sim \mathbb{P}$ such that $\mathcal{K}$ is $\mathbb{Q}'$-uniformly integrable? In the paper, we show that, no matter $\mathcal{K}$ is positive or not, the first question has a negative answer in general and the second one has a positive answer. In addition to answering these questions, we establish probabilistic and topological characterizations of existence of $\mathbb{Q}\sim\mathbb{P}$ satisfying these desired properties. We also investigate the peculiar effects of $\mathcal{K}$ being positive.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1902.00992
Document Type :
Working Paper