The stochastic order of probability measures on ordered metric spaces

DOI10.1016/J.JMAA.2018.04.038zbMATH Open1397.60052arXiv1709.04187OpenAlexW2963508746MaRDI QIDQ1748334FDOQ1748334

Authors: Fumio Hiai, Yongdo Lim, Jimmie D. Lawson 

Publication date: 9 May 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: The general notion of a stochastic ordering is that one probability distribution is smaller than a second one if the second attaches more probability to higher values than the first. Motivated by recent work on barycentric maps on spaces of probability measures on ordered Banach spaces, we introduce and study a stochastic order on the space of probability measures $mathcalP(X)$, where $X$ is a metric space equipped with a closed partial order, and derive several useful equivalent versions of the definition. We establish the antisymmetry and closedness of the stochastic order (and hence that it is a closed partial order) for the case of a partial order on a Banach space induced by a closed normal cone with interior. We also consider order-completeness of the stochastic order for a cone of a finite-dimensional Banach space and derive a version of the arithmetic-geometric-harmonic mean inequalities in the setting of the associated probability space on positive matrices.

Full work available at URL: https://arxiv.org/abs/1709.04187

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zbMATH Keywords

Wasserstein metricnormal coneordered metric spaceBorel probability measurestochastic orderAGH mean inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Set functions and measures on topological spaces (regularity of measures, etc.) (28C15)

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Cited In (21)

• Ordered probability spaces
• Stochastic Order Relations and Lattices of Probability Measures
• Operator means of probability measures
• Order-invariant measures on fixed causal sets
• Characterizing the asymptotic and catalytic stochastic orders on topological abelian groups
• On stochastic orders defined by other stochastic orders and transformations of probabilities
• Log-majorizations for the (symplectic) eigenvalues of the Cartan barycenter
• The order properties and Karcher barycenters of probability measures on the open convex cone
• Convergence theorems for barycentric maps
• Association of probability measures on partially ordered spaces
• Backward and forward Wasserstein projections in stochastic order
• Strong law of large numbers for generalized operator means
• Existence and uniqueness of the Karcher mean on unital \(C^\ast\)-algebras
• \(L_p\)-metric under the location-independent risk ordering of random variables
• A Metric Between Probability Distributions on Finite Sets of Different Cardinalities and Applications to Order Reduction
• Analytic lifts of operator concave functions
• Recursive tree processes and the mean-field limit of stochastic flows
• Strong law of large numbers for the \(L^1\)-Karcher mean
• Sur les répartitions de probabilités dans les espaces topologiques ordonnés
• Concentration order on a metric space, with some statistical applications
• Stochastic order on metric spaces and the ordered Kantorovich monad

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