Natural \(\alpha\)-quantiles and conditional \(\alpha\)-quantiles (Q791249)

In general the \(\alpha\)-quantile of a random variable is not uniquely determined. It is the aim of this paper to suggest a limit process for choosing exactly one \(\alpha\)-quantile called a natural \(\alpha\)- quantile. This process is similar to that employed by the authors in Ann. Probab. 9, 1041-1042 (1981; Zbl 0471.60049). Moreover, a natural choice of a conditional \(\alpha\)-quantile is suggested.