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Journal articles
Stochastic order relations and lattices of probability measures
Abstract : We study various partially ordered spaces of probability measures and we determine which of them are lattices. This has important consequences for optimization problems with stochastic dominance constraints. In particular we show that the space of probability measures on $\mathbb{R}$ is a lattice under most of the known partial orders, whereas the space of probability measures on $\mathbb{R}^d$ typically is not. Nevertheless, some subsets of this space, defined by imposing strong conditions on the dependence structure of the measures, are lattices.
https://hal-hec.archives-ouvertes.fr/hal-00539119
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Wednesday, November 24, 2010 - 9:48:07 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Wednesday, November 24, 2010 - 9:48:07 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM