Remarks on the tail order on moment sequences

DOI10.1016/J.JMAA.2022.126135MaRDI QIDQ831498zbMATH OpenOpenAlexFDO

Authors Vincent Bürgin, Jeremias Epperlein, Fabian Wirth

Publication date 23 March 2022

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

Full work available at URL https://arxiv.org/abs/2104.10572

zbMATH Keywords

distribution-valued gamesmoment sequencesMüntz-Szász theoremstochastic orderstail order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) 2-person games (91A05) Noncooperative games (91A10)

Abstract: We consider positively supported Borel measures for which all moments exist. On the set of compactly supported measures in this class a partial order is defined via eventual dominance of the moment sequences. Special classes are identified on which the order is total, but it is shown that already for the set of distributions with compactly supported smooth densities the order is not total. In particular we construct a pair of measures with smooth density for which infinitely many moments agree and another one for which the moments alternate infinitely often. This disproves some recently published claims to the contrary. Some consequences for games with distributional payoffs are discussed.

Recommendations

• Stochastic Dominance and Moment Inequalities
• A simple proof of Fishburn’s moments theorem
• Multivariate Stochastic Dominance and Moments
• A moment inequality
• A new necessary condition for higher order stochastic dominances with applications

Cites work

• Equilibrium points in n -person games
• Game theory
• Game theory for security and risk management. From theory to practice
• scientific article; zbMATH DE number 1222940 (Why is no real title available?)
• scientific article; zbMATH DE number 826245 (Why is no real title available?)
• scientific article; zbMATH DE number 3219899 (Why is no real title available?)
• Stochastic orders
• Stochastic orders and the frog model
• The moment problem

Cited in

(1)

• Games over probability distributions revisited: new equilibrium models and refinements

Describes a project that uses

Uses Software

• MathOverflow

This page was built for publication: Remarks on the tail order on moment sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q831498)