A multidimensional Fatou lemma for conditional expectations

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 cone...

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Bibliographic Details
Published in:Positivity : an international journal devoted to the theory and applications of positivity in analysis 2021-09, Vol.25 (4), p.1543-1549
Main Authors: Babaei, E., Evstigneev, I. V., Schenk-Hoppé, K. R.
Format: Article
Language:English
Subjects:
Algebra
Calculus of Variations and Optimal Control
Optimization
Cones
Econometrics
Fourier Analysis
Mathematics
Mathematics and Statistics
Operator Theory
Potential Theory
Random variables
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Summary: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.
ISSN:1385-1292
1572-9281
DOI:10.1007/s11117-021-00827-4