Convexification of Stochastic Ordering

نویسندگان

  • Darinka Dentcheva
  • Andrzej Ruszczyński
چکیده

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.

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تاریخ انتشار 2004