Commonotonicity and L¹ Random Variables

2019/05/13 by Delbaen, Freddy
#60Axx #91XX #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1905.04861

Abstract

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.

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