Random lsc functions

Lisa A. Korf; Roger J.-B. Wets

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SPEPS Preprint

Author(s):	Lisa A. Korf, IBM Watson Research Center, Yorktown Heights Roger J.-B. Wets, University of California, Davis
Title:	Random lsc functions – Scalarization
Date of Acceptance:	21.03.2000
Submission Date:	04.02.2000
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10057569) ps (urn:nbn:de:kobv:11-10057579)
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Abstract (eng):

Random lsc (lower semicontinuous) functions can be indentified with a vector-valued random variable by means of an appropriate scalarization. It is shown that stationarity, ergodicity and independence properties are preserved by this scalarization. The scalarization is exploited to obtain an lsc version of the conditional expectation of a random lsc function.

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