SUPEREXTREMAL PROCESSES, MAX-STABILITY AND DYNAMIC CONTINUOUS CHOICE
成果类型：
Article
署名作者：
Resnick, Sidney I.; Roy, Rishin
署名单位：
Cornell University; University of Toronto
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004972
发表日期：
1994
页码：
791-811
关键词：
摘要：
A general framework in an ordinal utility setting for the analysis of dynamic choice from a continuum of alternatives E is proposed. The model is based on the theory of random utility maximization in continuous time. We work with superextremal processes Y = {Y-t, t is an element of (0, infinity)}, where Y-t = {Y-t(tau), tau is an element of E} is a random element of the space of upper semicontinuous functions on a compact metric space E. Here Y-t(tau) represents the utility at time t for alternative tau is an element of E. The choice process M = {M-t, t is an element of (0, infinity)}, is studied, where M-t is the set of utility maximizing alternatives at time t, that is, M-t is the set of tau is an element of E at which the sample paths of Y-t on E achieve their maximum. Independence properties of Y and M are developed, and general conditions for M to have the Markov property are described. An example of conditions is that Y have max-stable marginals.
来源URL：