A structural characterization of numeraires of convex sets of nonnegative random variables
classification
🧮 math.FA
math.PR
keywords
convexnonnegativenumerairesrandomsetsspacevariablesbuilt
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We introduce the concept of numeraires of convex sets in the nonnegative orthant of the topological vector space of all random variables built over a probability space. A necessary and sufficient condition for an element of a convex set to be its numeraire is given, inspired from ideas in financial mathematics.
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