A multidimensional Fatou lemma for conditional expectations

Esmaeil Babaei Khezerloo; Igor Evstigneev; Klaus Schenk-Hoppe

doi:10.1007/s11117-021-00827-4

A multidimensional Fatou lemma for conditional expectations

Esmaeil Babaei Khezerloo, Igor Evstigneev, Klaus Schenk-Hoppe

Economics

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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 language	English
Journal	Positivity
Early online date	29 Mar 2021
DOIs	https://doi.org/10.1007/s11117-021-00827-4
Publication status	Published - 29 Mar 2021

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title = "A multidimensional Fatou lemma for conditional expectations",

abstract = "The classical multidimensional version of Fatou{\textquoteright}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.",

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A multidimensional Fatou lemma for conditional expectations

Abstract

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