Open AccessRandom optimization on random sets
Author(s) -
Emmanuel Lépinette
Publication year - 2019
Publication title -
mathematical methods of operations research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.524
H-Index - 48
eISSN - 1432-5217
pISSN - 1432-2994
DOI - 10.1007/s00186-019-00686-6
Subject(s) - preorder , multivariate random variable , mathematics , set (abstract data type) , transaction cost , computer science , random variable , random element , mathematical optimization , discrete mathematics , statistics , finance , economics , programming language
Random sets and random preorders naturally appear in financial market modeling with transaction costs. In this paper, we introduce and study a concept of essential minimum for a family of vector-valued random variables, as a set of minimal elements with respect to some random preorder. We provide some conditions under which the essential minimum is not empty and we present two applications in optimisation for mathematical finance and economics.
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