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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | A simple characterization of tightness for convex solid sets of positive random variables |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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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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