Existence conditions for extremal probability measures on Polish spaces and some of their properties

DOI10.1134/S0001434621030160zbMath1473.60007OpenAlexW3181348744MaRDI QIDQ2037687

V. M. Khametov, A. A. Nesterenko, E. A. Shelemekh

Publication date: 8 July 2021

Published in: Mathematical Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0001434621030160

zbMATH Keywords

dual spacerelative compactnessPolish spaceabsolute continuity and singularity of probability measuresset of equivalent probability measuresweakened topology

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05)

Cites Work

• Extremal measures and hedging in American options
• A unified framework for utility maximization problems: An Orlicz space approach
• Conditions for the discreteness of extremal probability measures (the finite-dimensional case)
• Optimal Stopping With Multiple Priors
• Stochastic finance. An introduction in discrete time
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