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Probability metrics and the stability of stochastic programs with recourse

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  • Michal Houda

Abstract

In stochastic optimization models the underlying probability measure must be very often replaced by its approximations. This leads to the investigation of the stability of such models with respect to changes in the probability measure. In this context, special attention is paid to recourse problems and the Wasserstein and Kolmogorov metrics.

Suggested Citation

  • Michal Houda, 2002. "Probability metrics and the stability of stochastic programs with recourse," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(17).
  • Handle: RePEc:czx:journl:v:9:y:2002:i:17:id:116
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/116
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    References listed on IDEAS

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    5. William A. Brock, 2001. "Growth Theory, Nonlinear Dynamics and Economic Modelling," Books, Edward Elgar Publishing, number 1491 edited by W. D. Dechert, April.
    6. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
    7. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    More about this item

    Keywords

    Stochastic programs with recourse; stability; Wasserstein metrics; Kolmogorov metrics;

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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