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Convexification of stochastic ordering. (English) Zbl 1083.90031
In this paper sets defined by first order stochastic dominance constraints are considered. The authors impose rather general assumptions in order to prove that in the space of integrable random variables the closed convex hull of the set of the usual stochastic ordering relation is equal to the set defined by the second order stochastic dominance relation.

MSC:
90C15 Stochastic programming
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