Random variables, monotone relations, and convex analysis

DOI10.1007/s10107-014-0801-1zbMath1330.60009OpenAlexW2024233896MaRDI QIDQ484142

R. Tyrrell Rockafellar, Johannes O. Royset

Publication date: 18 December 2014

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-014-0801-1

zbMATH Keywords

stochastic optimizationrandom variablesconvergence in distributionquantilesvalue-at-riskstochastic dominanceconvex analysisconjugate dualityconditional-value-at-riskco-monotonicitymeasures of risksuper distributionssuper expectationssuperquantiles

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Convex functions and convex programs in convex geometry (52A41) Foundations of probability theory (60A99) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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