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Rockafellar, R.T. & Wets, R.J.-B. (1981). On the Interchange of Subdifferentiation and Conditional Expectation for Convex Functionals. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-81-089
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Abstract
We show that the operators E^G (conditional expectation given a tau-field G) and partial (subdifferentiation), when applied to a normal convex integrand f, commute if the effective domain multifunction omega -> {x E R^n | f(omega , x) < +infinity } is G-measurable.
| Item Type: | Monograph (IIASA Working Paper) |
|---|---|
| Research Programs: | System and Decision Sciences - Core (SDS) |
| Depositing User: | IIASA Import |
| Date Deposited: | 15 Jan 2016 01:49 |
| Last Modified: | 27 Aug 2021 17:10 |
| URI: | https://pure.iiasa.ac.at/1672 |
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