Andrzej Ruszczynski, Rutgers University
(SPEPS)
Gordon & Breach (New York, NY [u.a.])
To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Darinka Dentcheva, Stevens Institute of Technology Andrzej Ruszczynski, Rutgers University | Title: | Convexification of stochastic ordering |
| Date of Acceptance: | 01.03.2004 |
| Submission Date: | 18.02.2004 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | Stochastic programming, Duality, Stochastic ordering, Semi-infinite optimization, Chance constraints, Risk, Convexification, Generalized concavity |
| Appeared in: |
Optimization 5-6 (Vol. 53, 2004)
Gordon & Breach (New York, NY [u.a.]) |
| Metadata export:
To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
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Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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