Stochastic Order Relations and Lattices of Probability Measures

DOI10.1137/040611021MaRDI QIDQ5470230zbMATH OpenOpenAlexFDO

Authors Alfred Müller, Marco Scarsini

Publication date 30 May 2006

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/8ce966c38485de5aa5ffce6ad49759c74c80a48a

zbMATH Keywords

copulalatticemultivariate stochastic ordersoptimization with stochastic dominance constraintsunivariate stochastic orderszonoid

Mathematics Subject Classification ID

Complete lattices, completions (06B23) Inequalities; stochastic orderings (60E15)

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• Stochastic orderings of multivariate elliptical distributions
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• A note on stochastic dominance, uniform integrability and lattice properties
• A characterisation of ordered abstract probabilities
• Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
• On stochastic orders defined by other stochastic orders and transformations of probabilities
• Information hierarchies
• Boundedly rational demand
• Maxitive functions with respect to general orders
• Max- and min-stability under first-order stochastic dominance
• Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDEs
• Lattice structures for the stochastic comparison of call ratio backspread derivatives with an application
• Robust stochastic orders and applications to elliptical distributions under parametric ambiguity
• Kantorovich-Rubinstein duality theory for the hessian
• ``Weak stochastic orderings and dependence measures

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