Random concave functions

DOI10.1214/21-AAP1697zbMATH Open1498.60050arXiv1910.13668OpenAlexW2982563266MaRDI QIDQ2134284FDOQ2134284

Authors: Peter H. Baxendale, Ting-Kam Leonard Wong 

Publication date: 6 May 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Spaces of convex and concave functions appear naturally in theory and applications. For example, convex regression and log-concave density estimation are important topics in nonparametric statistics. In stochastic portfolio theory, concave functions on the unit simplex measure the concentration of capital, and their gradient maps define novel investment strategies. The gradient maps may also be regarded as optimal transport maps on the simplex. In this paper we construct and study probability measures supported on spaces of concave functions. These measures may serve as prior distributions in Bayesian statistics and Cover's universal portfolio, and induce distribution-valued random variables via optimal transport. The random concave functions are constructed on the unit simplex by taking a suitably scaled (mollified, or soft) minimum of random hyperplanes. Depending on the regime of the parameters, we show that as the number of hyperplanes tends to infinity there are several possible limiting behaviors. In particular, there is a transition from a deterministic almost sure limit to a non-trivial limiting distribution that can be characterized using convex duality and Poisson point processes.

Full work available at URL: https://arxiv.org/abs/1910.13668

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zbMATH Keywords

extreme value theoryoptimal transportPoisson point processstochastic portfolio theoryconcave functionuniversal portfolio

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Geometric probability and stochastic geometry (60D05)

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Cited In (1)

• Functional portfolio optimization in stochastic portfolio theory

Uses Software

• LogConcDEAD

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