An optimal transport-based characterization of convex order
For probability measures μ,ν\mu ,\nu , and ρ\rho , define the cost functionals C(μ,ρ)≔supπ∈Π(μ,ρ)∫⟨x,y⟩π(dx,dy)andC(ν,ρ)≔supπ∈Π(ν,ρ)∫⟨x,y⟩π(dx,dy),C\left(\mu ,\rho ):= \mathop{\sup }\limits_{\pi \in \Pi \left(\mu ,\rho )}\int \langle x,y\rangle \pi \left({\rm{d}}x,{\rm{d}}y)\hspace{1.0em}{\rm{and}}\...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2023-10-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2023-0102 |