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Conditional expectation of integrands and random sets

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Abstract

The conditional expectation of integrands and random sets is the main tool of stochastic optimization. This work wishes to make up for the lack of real synthesis about this subject. We improve the existing hypothesis and simplify the corresponding proofs. In the convex case we especially study the problem of the exchange of conditional expectation and subdifferential operators.

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  1. AVAMAC, 66025, Perpignan Cedex, France

    A. Truffert

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Truffert, A. Conditional expectation of integrands and random sets. Ann Oper Res 30, 115–156 (1991). https://doi.org/10.1007/BF02204813

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