Article ID: | iaor19912085 |
Country: | Switzerland |
Volume: | 30 |
Start Page Number: | 117 |
End Page Number: | 156 |
Publication Date: | Jun 1991 |
Journal: | Annals of Operations Research |
Authors: | Truffert A. |
The conditional expectation of integrands and random sets is the main tool of stochastic optimization. This work wishes to make up for the lack of real synthesis about this subject. The existing hypothesis is improved and the corresponding proofs simplified. In the convex case the problem of the exchange of conditional expectation and subdifferential operators is especially studied.