Corpus ID: 152282513

Commonotonicity and $L^1$ Random Variables

@article{Delbaen2019CommonotonicityA,
  title={Commonotonicity and \$L^1\$ Random Variables},
  author={F. Delbaen},
  journal={arXiv: Probability},
  year={2019}
}
  • F. Delbaen
  • Published 2019
  • Mathematics
  • arXiv: Probability
It is proved that in suitable filtrations every pair of integrable random variables is the conditional expectation of a pair of commonotone integrable random variables. 

References

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Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless probability spaces.
Monetary Utility Functions, Lectures held in 2008 and published in the series
  • Lecture Notes of the University of Osaka
  • 2011
Monetary Utility Functions, Lectures held in 2008 and published in the series “Lecture Notes of the University of Osaka
  • 2011