Stochastic dominance efficient sets and stochastic spanning
Sign Up to like & getrecommendations! Published in 2021 at "Decisions in Economics and Finance"
DOI: 10.1007/s10203-021-00325-y
Abstract: We derive sufficient conditions for non-emptiness of the efficient sets for stochastic dominance relations, usually employed in economics and finance. We do so via the concept of stochastic spanning and its characterization by a saddle-type… read more here.
Keywords: efficient sets; finance; stochastic dominance; sets stochastic ... See more keywords
Weak compactness of weak solutions sets to stochastic differential inclusions
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Analysis and Applications"
DOI: 10.1080/07362994.2019.1702884
Abstract: Abstract The main result of the paper deals with weak compactness in distribution of weak solutions sets to stochastic differential inclusions defined by set-valued stochastic integrals presented in the paper [Kisielewicz, M., Michta, M. (2017).… read more here.
Keywords: solutions sets; weak compactness; differential inclusions; stochastic differential ... See more keywords