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Uniform Convergence in Extended Probability of Sub-Gradients of Convex Functions

Kemp, Gordon (2020) 'Uniform Convergence in Extended Probability of Sub-Gradients of Convex Functions.' Economics Letters, 188. ISSN 0165-1765

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It is well known that if a sequence of stochastic convex functions on $\mathbb{R}^{d}$ converges in probability point-wise to some non-stochastic function then the limit function is convex and the convergence is uniform on compact sets; see Andersen and Gill (1982) and Pollard (1991). In the present paper, I establish that if the limiting function is differentiable then any sequence of measurable sub-gradients of the stochastic convex functions converges in extended probability to the gradient of the limit function uniformly on compact sets.

Item Type: Article
Uncontrolled Keywords: Convex functions, sub-gradients, convergence in probability, extended probability measure, uniform convergence
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 18 Nov 2019 11:56
Last Modified: 06 Feb 2020 13:15

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