3 papers
math.PR2021
Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
Andrea Cinfrignini, Davide Petturiti, Barbara Vantaggi
We consider a one-period market model composed by a risk-free asset and a risky asset with possible future values (namely, a -nomial market model). We characterize the lower…
math.PR2021
How to assess coherent beliefs: A comparison of different notions of coherence in Dempster-Shafer theory of evidence
Davide Petturiti, Barbara Vantaggi
Stemming from de Finetti's work on finitely additive coherent probabilities, the paradigm of coherence has been applied to many uncertainty calculi in order to remove structural re…
math.PR2016
Envelopes of conditional probabilities extending a strategy and a prior probability
Davide Petturiti, Barbara Vantaggi
Any strategy and prior probability together are a coherent conditional probability that can be extended, generally not in a unique way, to a full conditional probability. The corre…