EURO Working Group on Stochastic Modellingmain |
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FIRST MEETING: 19-21 APRIL 2006, AMSTERDAM |
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AbstractsAlfred Müller, Stochastic orders and lattices of probability measuresWe 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 the real line is a lattice under most of the known partial orders, whereas the space of multivariate probability measures typically is not. (joint work with Marco Scarsini) |