Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2018). A simple characterization of tightness for convex solid sets of positive random variables. Positivity, 22(4):1015-1022.
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient to be is radially bounded, i.e. that every ray passing through one of its elements eventually leaves the set. The result is motivated by problems arising in mathematical finance.
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient to be is radially bounded, i.e. that every ray passing through one of its elements eventually leaves the set. The result is motivated by problems arising in mathematical finance.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Analysis
Physical Sciences > Theoretical Computer Science Physical Sciences > General Mathematics |
| Language: | English |
| Date: | 19 January 2018 |
| Deposited On: | 30 Aug 2018 07:45 |
| Last Modified: | 26 Jan 2022 17:22 |
| Publisher: | Springer |
| ISSN: | 1385-1292 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1007/s11117-018-0556-7 |
| Related URLs: | https://link.springer.com/article/10.1007%2Fs11117-018-0556-7 |
| Other Identification Number: | merlin-id:15902 |
Koch-Medina, Pablo