A note on stochastic dominance, uniform integrability and lattice properties
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Publication:5135366
DOI10.1112/BLMS.12371zbMATH Open1459.60053arXiv1909.03740OpenAlexW3035960943MaRDI QIDQ5135366FDOQ5135366
Publication date: 20 November 2020
Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)
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- 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- topology, respectively. This complements a set of characterizations of tightness and uniform integrability, which are discussed in a preliminary section.
Full work available at URL: https://arxiv.org/abs/1909.03740
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Cited In (7)
- Model Uncertainty: A Reverse Approach
- The Texas shoot-out under Knightian uncertainty
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Stochastic dominance for shift-invariant measures
- Complete lattices of probability measures with applications to martingale theory
- An optimal transport-based characterization of convex order
- Submodular mean field games: existence and approximation of solutions
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