Convexification of stochastic ordering

Dentcheva, Darinka; Ruszczynski, Andrzej

Found an issue? Give us feedback

edoc-Server. Open-Ac...arrow_drop_down

edoc-Server. Open-Access-Publikationsserver der Humboldt-Universität zu Berlin

Book . 2004

Data sources: edoc-Server. Open-Access-Publikationsserver der Humboldt-Universität zu Berlin

https://dx.doi.org/10.18452/83...

Book . 2004

Data sources: Datacite

Convexification of stochastic ordering

descriptionPublicationkeyboard_double_arrow_right Book 01 Mar 2004Embargo end date: 16 Jun 2017 Germany Publisher:Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik

Authors: Dentcheva, Darinka; Ruszczynski, Andrzej;

doi: 10.18452/8314

Convexification of stochastic ordering

- Summary
- Subjects
- Metrics

Abstract

We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed convex hull of the first set is equal to the second set.

Country

Germany

Related Organizations

Humboldt-Universität zu Berlin
Germany

Keywords

ddc:510, Risk, Stochastic ordering, Semi-infinite optimization, Duality, Generalized concavity, Stochastic programming, 510 Mathematik, Convexification, Chance constraints

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average