A continuous mapping theorem for the argmin-set functional with applications to convex stochastic processes

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Contributors

Abstract

For lower-semicontinuous and convex stochastic processes Zn and nonnegative random variables εn we investigate the pertaining random sets A(Zn, εn) of all εn-approximating minimizers of Zn. It is shown that, if the finite dimensional distributions of the Zn converge to some Z and if the εn converge in probability to some constant c, then the A(Zn, εn) converge in distribution to A(Z, c) in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular, in contrast to these argmin-theorems we do not require that the limit process has a unique minimizing point. In the non-unique case the limit-distribution is replaced by a Choquet-capacity.

Details

Original languageEnglish
Pages (from-to)426-445
Number of pages20
JournalKybernetika
Volume57
Issue number3
Publication statusPublished - 2021
Peer-reviewedYes

Keywords

Keywords

  • Choquet-capacity, Convex stochastic processes, Sets of approximating minimizers, Vietoris hyperspace topologies, Weak convergence

Library keywords