RANDOM OPTIMIZATION ON RANDOM SETS

Emmanuel Lépinette (1)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

Random sets and random preorders naturally appear in financial market modelling with transaction costs. In this paper , we introduce and study a concept of essential minimum of a family of vector-valued random variables, i.e. the set of all 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 to Mathematical Finance and Economics.

Domaines: Probabilités [math.PR]

Emmanuel Lépinette. RANDOM OPTIMIZATION ON RANDOM SETS. 2018. ⟨hal-01779181v1⟩