On the interchange of subdifferentiation and conditional expectation for convex functionals

DOI10.1080/17442508208833217zbMath0487.49006OpenAlexW1969095781MaRDI QIDQ3948200

Roger J.-B. Wets, R. Tyrrell Rockafellar

Publication date: 1982

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://pure.iiasa.ac.at/id/eprint/1672/1/WP-81-089.pdf

zbMATH Keywords

conditional expectationsubdifferentiationnormal convex integrandconvex stochastic optimization problemseffective domain multifunction

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45) Convexity of real functions of several variables, generalizations (26B25) Stochastic analysis (60H99) Random convex sets and integral geometry (aspects of convex geometry) (52A22) Abstract differentiation theory, differentiation of set functions (28A15) Existence of optimal solutions to problems involving randomness (49J55)

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Cites Work

• Intégrales convexes et probabilités
• Integrals which are convex functionals. II
• Stochastic Convex Programming: Relatively Complete Recourse and Induced Feasibility
• Regular Conditional Expectations of Correspondences
• Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
• Convex Analysis