Kybernetika 57 no. 3, 426-445, 2021

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

Dietmar FergerDOI: 10.14736/kyb-2021-3-0426

Abstract:

For lower-semicontinuous and convex stochastic processes $Z_n$ and nonnegative random variables $\epsilon_n$ we investigate the pertaining random sets $A(Z_n,\epsilon_n)$ of all $\epsilon_n$-approximating minimizers of $Z_n$. It is shown that, if the finite dimensional distributions of the $Z_n$ converge to some $Z$ and if the $\epsilon_n$ converge in probability to some constant $c$, then the $A(Z_n,\epsilon_n)$ 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.

Keywords:

convex stochastic processes, sets of approximating minimizers, weak convergence, Vietoris hyperspace topologies, Choquet-capacity

Classification:

60B05, 60B10, 60F99

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