A multidimensional Fatou lemma for conditional expectations

Esmaeil Babaei Khezerloo, Igor Evstigneev, Klaus Schenk-Hoppe

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Abstract

The classical multidimensional version of Fatou’s lemma (Schmeidler in Proc Am Math Soc 24:300–306, 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.
Original languageEnglish
JournalPositivity
Early online date29 Mar 2021
DOIs
Publication statusPublished - 29 Mar 2021

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