Stochastic order relations and lattices of probability measures

Marco Scarsini and Alfred Müller

Post-Print from HAL

Abstract: We study various partially ordered spaces of probability measures and we determine which of them are lattices. This has important consequences for optimization problems with stochastic dominance constraints. In particular we show that the space of probability measures on $\mathbb{R}$ is a lattice under most of the known partial orders, whereas the space of probability measures on $\mathbb{R}^d$ typically is not. Nevertheless, some subsets of this space, defined by imposing strong conditions on the dependence structure of the measures, are lattices.

Keywords: copula; zonoid; lattice; univariate stochastic orders; multivariate stochastic orders; optimization with stochastic dominance constraints (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Published in SIAM Journal on Optimization, 2006, Vol.16, N°4, pp.1024 - 1043. ⟨10.1137/040611021⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00539119

DOI: 10.1137/040611021

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().