On the interchange of subdifferentiation and conditional expectation for convex functionals

Rockafellar, R. & Wets, R. (1982). On the interchange of subdifferentiation and conditional expectation for convex functionals. Stochastics 7 (3) 173-182. 10.1080/17442508208833217.

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Abstract

We show that the operators Eg(conditional expectation given a σ-field g) and ∂ (subdifferentiation), when applied to a normal convex integrand ƒ commute if the effective domain multifunction Ω→{x∊Rnf(ω,x)<+∞ is g-measurable.

Item Type:	Article
Research Programs:	System and Decision Sciences - Core (SDS)
Depositing User:	Romeo Molina
Date Deposited:	16 Nov 2016 14:14
Last Modified:	27 Aug 2021 17:28
URI:	https://pure.iiasa.ac.at/13949

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