2004-03-01Buch DOI: 10.18452/8314
Convexification of stochastic ordering
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.
Is Part Of Series: Optimization, 53, 5-6, 2004