Article ID: | iaor20041838 |
Country: | United States |
Volume: | 20 |
Issue: | 4 |
Start Page Number: | 769 |
End Page Number: | 789 |
Publication Date: | Nov 1995 |
Journal: | Mathematics of Operations Research |
Authors: | Pflug G.C. |
Consider a stochastic program with unique solution. By the notion of epiconvergence in distribution in local coordinates, we define the asymptotic stochastic program associated to it. Stochastic programs may be classified according to the type of the pertaining asymptotic program. In particular, three such types are studied in detail: the normal shift program, the Wiener-type program and the Poisson-hyperplane program. Conditions for the convergence to each of the three types are given.