Exponentially concave functions and a new information geometry
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Publication:1746149
DOI10.1214/17-AOP1201zbMath1390.60064arXiv1605.05819WikidataQ125303311 ScholiaQ125303311MaRDI QIDQ1746149
Soumik Pal, Ting-Kam Leonard Wong
Publication date: 24 April 2018
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.05819
information geometryoptimal transportstochastic portfolio theoryL-divergencefunctionally generated portfoliogeneralized Pythagorean theoremexponential concavity
Probability distributions: general theory (60E05) Convex functions and convex programs in convex geometry (52A41)
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