Filter convergence and decompositions for vector lattice-valued measures

Filter convergence of vector lattice-valued measures is considered, in order to deduce theorems of convergence for their decompositions. First the $\sigma$-additive case is studied, without particular assumptions on the filter; later the finitely additive case is faced, first assuming uniform $s$-boundedness (without restrictions on the filter), then relaxing this condition but imposing stronger properties on the filter. In order to obtain the last results, a Schur-type convergence theorem is used.Comment: 18 page

Finitely additive probabilities and the Fundamental Theorem of Asset Pricing

This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the spirit of the Fundamental Theorem of Asset Pricing (FTAP), it is shown here that absence of arbitrages of the first kind in the market is equivalent to the existence of a finitely additive probability, weakly equivalent to the original and only locally countably additive, under which the discounted wealth processes become "local martingales". The aforementioned result is then used to obtain an independent proof of the FTAP of Delbaen and Schachermayer. Finally, an elementary and short treatment of the previous discussion is presented for the case of continuous-path semimartingale asset-price processes.Comment: 14 pages. Dedicated to Prof. Eckhard Platen, on the occasion of his 60th birthday. This is the 2nd part of what comprised the older arxiv submission arXiv:0904.179

Optimal strategies for a game on amenable semigroups

The semigroup game is a two-person zero-sum game defined on a semigroup S as follows: Players 1 and 2 choose elements x and y in S, respectively, and player 1 receives a payoff f(xy) defined by a function f from S to [-1,1]. If the semigroup is amenable in the sense of Day and von Neumann, one can extend the set of classical strategies, namely countably additive probability measures on S, to include some finitely additive measures in a natural way. This extended game has a value and the players have optimal strategies. This theorem extends previous results for the multiplication game on a compact group or on the positive integers with a specific payoff. We also prove that the procedure of extending the set of allowed strategies preserves classical solutions: if a semigroup game has a classical solution, this solution solves also the extended game.Comment: 17 pages. To appear in International Journal of Game Theor

Fair amenability for semigroups

A new flavour of amenability for discrete semigroups is proposed that generalises group amenability and follows from a \Folner-type condition. Some examples are explored, to argue that this new notion better captures some essential ideas of amenability. A semigroup $S$ is left fairly amenable if, and only if, it supports a mean $m\in\ell^\infty(S)^*$ satisfying $m(f) = m(s\ast f)$ whenever $s\ast f\in\ell^\infty(S)$, thus justifying the nomenclature "fairly amenable''.Comment: 26 pages, 10 figure