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arXiv · 1702.02490

A pointwise bipolar theorem

Daniel Bartl·Michael Kupper
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Abstract

We provide a pointwise bipolar theorem for liminf-closed convex sets of positive Borel measurable functions on a sigma-compact metric space without the assumption that the polar is a tight set of measures. As applications we derive a version of the transport duality under non-tight marginals, and a superhedging duality for semistatic hedging in discrete time.

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Daniel Bartl, Michael Kupper. 2017-02-08. A pointwise bipolar theorem. https://doi.org/10.1090/proc/14231

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