Conditional expectation of integrands and random sets

Conditional expectation of integrands and random sets

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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:
Abstract:

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.

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