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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title A simple characterization of tightness for convex solid sets of positive random variables
Organization Unit
Authors
  • Pablo Koch Medina
  • Cosimo Munari
  • Mario Šikić
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title Positivity
Publisher Springer
Geographical Reach international
ISSN 1385-1292
Volume 22
Number 4
Page Range 1015 - 1022
Date 2018
Abstract Text 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.
Related URLs
Digital Object Identifier 10.1007/s11117-018-0556-7
Other Identification Number merlin-id:15902
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