A coupling proof of convex ordering for compound distributions

DOI10.1214/20-ECP323zbMath1447.60048arXiv1910.07218MaRDI QIDQ782840

Nicolas Juillet, Jean Bérard

Publication date: 29 July 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.07218

zbMATH Keywords

convex ordermartingale transportStrassen's theorem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Convex sets in topological linear spaces; Choquet theory (46A55) Optimal transportation (49Q22)

Uses Software

• R

Cites Work

• On a problem of optimal transport under marginal martingale constraints
• On a representation theorem for finitely exchangeable random vectors
• Stochastic orders
• De Finetti's theorem for abstract finite exchangeable sequences
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• On extremal measures and subspace density
• Probability
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• Peacocks Parametrised by a Partially Ordered Set
• The Existence of Probability Measures with Given Marginals
• Lectures on Choquet's theorem
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