On the interchange of subdifferentiation and conditional expectation for convex functionals
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 7 (3) , 173-182
Abstract
We show that the operators Eg(conditional expectation given a σ-field g) and ∂ (subdifferentiation), when applied to a normal convex integrand ƒ commute if the effective domain multifunction Ω→{x∊Rnf(ω,x)<+∞ is g-measurable.Keywords
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