A note on stochastic dominance, uniform integrability and lattice properties

DOI10.1112/BLMS.12371MaRDI QIDQ5135366zbMATH OpenOpenAlexFDO

Authors Max Nendel

Publication date 20 November 2020

Published in Bulletin of the London Mathematical Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.03740

zbMATH Keywords

latticestochastic dominanceweak topologytightnessuniform integrabilityWasserstein-1 topology

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Inequalities; stochastic orderings (60E15)

Abstract: In this work, we discuss completeness for the lattice orders of first and second order stochastic dominance. The main results state that, both, first and second order stochastic dominance induce Dedekind super complete lattices, i.e.~lattices in which every bounded nonempty subset has a countable subset with identical least upper bound and greatest lower bound. Moreover, we show that, if a suitably bounded set of probability measures is directed (e.g.~a lattice), then the supremum and infimum w.r.t.~first or second order stochastic dominance can be approximated by sequences in the weak topology or in the Wasserstein-$1$ topology, respectively. As a consequence, we are able to prove that a sublattice of probability measures is complete w.r.t.~first order stochastic dominance or second order stochastic dominance and increasing convex order if and only if it is compact in the weak topology or in the Wasserstein-$1$ topology, respectively. This complements a set of characterizations of tightness and uniform integrability, which are discussed in a preliminary section.

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Cited in

(9)

• Stochastic order characterization of uniform integrability and tightness
• An optimal transport-based characterization of convex order
• Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
• The Texas shoot-out under Knightian uncertainty
• Stochastic Order Relations and Lattices of Probability Measures
• Stochastic dominance for shift-invariant measures
• Submodular mean field games: existence and approximation of solutions
• Complete lattices of probability measures with applications to martingale theory
• Model uncertainty: a reverse approach

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