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math.PR2026
P-Sensitive Functions and Localizations
Johannes Langner, Gregor Svindland
This paper assumes a robust stochastic model where a set of probability measures replaces the single probability measure of dominated models. We introduce and study $…
math.PR2022
Bipolar Theorems for Sets of Non-negative Random Variables
Johannes Langner, Gregor Svindland
This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set o…
math.PR2020
Model Uncertainty: A Reverse Approach
Felix-Benedikt Liebrich, Marco Maggis, Gregor Svindland
Robust models in mathematical finance replace the classical single probability measure by a sufficiently rich set of probability measures on the future states of the world to captu…