Stochastic Order Relations and Lattices of Probability Measures

DOI10.1137/040611021zbMath1102.60017OpenAlexW1964028581MaRDI QIDQ5470230

Alfred Müller, Marco Scarsini

Publication date: 30 May 2006

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8ce966c38485de5aa5ffce6ad49759c74c80a48a

zbMATH Keywords

latticecopulazonoidmultivariate stochastic ordersunivariate stochastic ordersoptimization with stochastic dominance constraints

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Complete lattices, completions (06B23)

Related Items (14)

Two musical orderings ⋮ Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications ⋮ Total reward semi-Markov mean-field games with complementarity properties ⋮ SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS ⋮ A note on stochastic dominance, uniform integrability and lattice properties ⋮ Sampling of probability measures in the convex order by Wasserstein projection ⋮ Sequential auctions with ambiguity ⋮ Peacocks nearby: approximating sequences of measures ⋮ Bayesian persuasion with multiple senders and rich signal spaces ⋮ Risk aversion for an electricity retailer with second-order stochastic dominance constraints ⋮ On minimal copulas under the concordance order ⋮ Submodular mean field games: existence and approximation of solutions ⋮ Stochastic orderings of multivariate elliptical distributions ⋮ Stochastic Comparative Statics in Markov Decision Processes

This page was built for publication: Stochastic Order Relations and Lattices of Probability Measures