Estimation of error probabilities in stochastic dominance
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Publication:3806561
DOI10.1080/00949658608810929zbMath0658.62027MaRDI QIDQ3806561
Roger C. Pfaffenberger, William E. Stein
Publication date: 1986
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949658608810929
simulation results; lognormal distributions; stochastic dominance; utility theory; normal distributions; sampling error; Kolmogorov- Smirnov test; estimation of error probabilities
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C05: Monte Carlo methods
65C99: Probabilistic methods, stochastic differential equations
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