IDEAS home Printed from https://ideas.repec.org/p/nwu/cmsems/905.html
   My bibliography  Save this paper

Stochastic Dominance

Author

Listed:
  • Ricard Torres

Abstract

We develop in this paper a systematic study of the stochastic dominance ordering in spaces of measures. We collect and present in an orderly fashion, results that are spread out in the Applied Probability and Mathematical Economics literature, and extend most of them to a somewhat broader framework. Several original contributions are made on the way. We provide a sharp characterization of conditions that permit an equivalent definition of stochastic dominance by means of continuous and monotone functions. When the preorder of the original space is closed, we offer an extremely simple equivalent characterization of stochastic dominance, a result of which we have found no parallel in literature. We develop original methods that shed light into the inheritance of the antisymmetric property by the stochastic dominance ordering. We study how the topological properties of the preorder translate to the stochastic dominance preorder. A class of spaces in which monotone and continuous functions are convergence-determining is described. Finally, conditions are given that guarantee that (order) bounded stochastically monotone nets, have a limit point.We develop in this paper a systematic study of the stochastic dominance ordering in spaces of measures. We collect and present in an orderly fashion, results that are spread out in the Applied Probability and Mathematical Economics literature, and extend most of them to a somewhat broader framework. Several original contributions are made on the way. We provide a sharp characterization of conditions that permit an equivalent definition of stochastic dominance by means of continuous and monotone functions. When the preorder of the original space is closed, we offer an extremely simple equivalent characterization of stochastic dominance, a result of which we have found no parallel in literature. We develop original methods that shed light into the inheritance of the antisymmetric property by the stochastic dominance ordering. We study how the topological properties of the preorder translate to the stochastic dominance preorder. A class of spaces in which monotone and continuous functions are convergence-determining is described. Finally, conditions are given that guarantee that (order) bounded stochastically monotone nets, have a limit point.

Suggested Citation

  • Ricard Torres, 1990. "Stochastic Dominance," Discussion Papers 905, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:905
    as

    Download full text from publisher

    File URL: http://www.kellogg.northwestern.edu/research/math/papers/905.pdf
    File Function: main text
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cuong Van & John Stachurski, 2007. "Parametric continuity of stationary distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 33(2), pages 333-348, November.
    2. Gong, Liutang & Zhao, Xiaojun & Yang, Yunhong & Hengfu, Zou, 2010. "Stochastic growth with social-status concern: The existence of a unique stable distribution," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 505-518, July.
    3. John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, April.
    4. Takashi Kamihigashi & John Stachurski, 2009. "Asymptotics Of Stochastic Recursive Economies Under Monotonicity," KIER Working Papers 666, Kyoto University, Institute of Economic Research.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nwu:cmsems:905. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Fran Walker (email available below). General contact details of provider: https://edirc.repec.org/data/cmnwuus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.