Minimal \(\mathcal{L}^p \)-densities with prescribed marginals

DOI10.3150/20-BEJ1250zbMath1473.46037arXiv2004.05028MaRDI QIDQ2214260

Mingchuan Zhao, Paolo Guasoni, Eberhard Mayerhofer

Publication date: 7 December 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.05028

zbMATH Keywords

Banach spacesintegral equationsmultivariate distributionssharp estimates

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Systems of nonlinear integral equations (45G15)

Cites Work

• An introduction to copulas.
• Spanning and completeness in markets with contingent claims
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