Abstract
For two probability measures μ,υ on ℝm and a set U of convex functions u on ℝm the stochastic dominance (SD) relations υ≼U (≺U)μ between μ, υ are defined by
[6,16,47]. If Px denotes the probability distribution of A(ω)x−b(ω), A(ω)x, resp., hence F(x)=∫ udPx, then Py ≼U(≺U)Px implies that PX+λ(y−x)≼U Px or PX+λ(y−x)≺U Px for all 0<λ<1.
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© 1988 Springer-Verlag Berlin Heidelberg
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Marti, K. (1988). Stochastic dominance (SD) and the construction of feasible descent directions. In: Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs. Lecture Notes in Economics and Mathematical Systems, vol 299. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-02558-1_2
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DOI: https://doi.org/10.1007/978-3-662-02558-1_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-18778-3
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