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math.PR2026
Can the - duality be restored for non-dominated families of probability measures?
Irene Klein, Georg Köstenberger
The duality frequently breaks down in the presence of model uncertainty, where a single reference measure is replaced by a non-dominated family of p…
math.PR2026
Quantitative Halmos-Savage theorems and robust large financial markets
Christa Cuchiero, Irene Klein, Georg Köstenberger +1
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing…