A Multidimensional Fatou Lemma for Conditional Expectations

Published 1 Nov 2018 in math.OC | (1811.00640v1)

Abstract: The classical multidimensional version of Fatou's lemma (Schmeidler 1970) originally obtained for unconditional expectations and the standard non-negative cone in a finite-dimensional linear space is extended to conditional expectations and general closed pointed cones.

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