2000-03-21Buch DOI: 10.18452/8231
Random lsc functions
Korf, Lisa A.
Wets, Roger J.-B.
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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Is Part Of Series: Stochastic Programming E-Print Series - 7, SPEPS