A note on stochastic dominance and compactness

Arbeitspapier

In this work, we discuss completeness for the lattice orders of first and second order stochastic dominance. The main results state that, both, first and second order stochastic dominance induce Dedekind super complete lattices, i.e. lattices in which every bounded nonempty subset has a countable subset with identical least upper bound and greatest lower bound. Moreover, we show that, if a suitably bounded set of probability measures is directed (e.g. a lattice), then the supremum and infimum w.r.t. first or second order stochastic dominance can be approximated by sequences in the weak topology or in the Wasserstein-1 topology, respectively. As a consequence, we are able to prove that a sublattice of probability measures is complete w.r.t. first order stochastic dominance or second order stochastic dominance and increasing convex order if and only if it is compact in the weak topology or in the Wasserstein-1 topology, respectively. This complements a set of characterizations of tightness and uniform integrability, which are discussed in a preliminary section.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Center for Mathematical Economics Working Papers ; No. 623

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Stochastic dominance ; complete lattice ; tightness ; uniform integrability ; Wassersteindistance

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Nendel, Max
• Ereignis: Veröffentlichung
• (wer): Bielefeld University, Center for Mathematical Economics (IMW)
• (wo): Bielefeld
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/227819
• URN: urn:nbn:de:0070-pub-29372610
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ