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- Title
Conditional Interior and Conditional Closure of Random Sets.
- Authors
El Mansour, Meriam; Lépinette, Emmanuel
- Abstract
In this paper, we introduce two new types of conditional random set taking values in a Banach space: the conditional interior and the conditional closure. The conditional interior is a version of the conditional core, as introduced by A. Truffert and recently developed by Lépinette and Molchanov, and may be seen as a measurable version of the topological interior. The conditional closure is a generalization of the notion of conditional support of a random variable. These concepts are useful for applications in mathematical finance and conditional optimization.
- Subjects
RANDOM sets; RANDOM variables; BANACH spaces
- Publication
Journal of Optimization Theory & Applications, 2020, Vol 187, Issue 2, p356
- ISSN
0022-3239
- Publication type
Article
- DOI
10.1007/s10957-020-01768-w