An extension of the usual model in statistical decision theory with applications to stochastic optimization problems

DOI10.1016/0047-259X(80)90059-7zbMath0445.62008MaRDI QIDQ1145430

Erik J. Balder

Publication date: 1980

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

measurable multifunctionsexistence of admissible nonrandomized Bayes rulessufficiency reduction

Mathematics Subject Classification ID

Stochastic programming (90C15) General considerations in statistical decision theory (62C05)

Related Items (8)

On a noncooperative stochastic game played by internally cooperating generations ⋮ Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models ⋮ Stationary Markovian equilibrium in altruistic stochastic OLG models with limited commitment ⋮ Statistische Entscheidungsprobleme mit nichtkompaktem Aktionenraum ⋮ Existence of perfect equilibria in a class of multigenerational stochastic games of capital accumulation ⋮ Robust Markov perfect equilibria ⋮ On a generalization of the Dvoretzky-Wald-Wolfowitz theorem with an application to a robust optimization problem ⋮ Nonrandomized strategy equilibria in noncooperative stochastic games with additive transition and reward structure

Cites Work

• On a useful compactification for optimal control problems
• Relaxed inf-compactness for variational problems by Hilbert cube compactification
• Truncation methods applied to problems of weak or strong convergence in \(L^ 1\)
• On the risk-equivalence of two methods of randomization in statistics
• Stochastic convex programming: basic duality
• Problèmes de minimax via l'analyse convexe et les inégalités variationelles: Théorie et algorithmes
• An Extension of Duality-Stability Relations to Nonconvex Optimization Problems
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Sufficiency and Statistical Decision Functions
• An Extension of Wald's Theory of Statistical Decision Functions
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