Distribution functions, extremal limits and optimal transport

DOI10.1016/J.INDAG.2015.05.003zbMATH Open1334.90145arXiv1502.06839OpenAlexW2963093424MaRDI QIDQ898076FDOQ898076

Robert F. Tichy, Maria Rita Iacò, Stefan Thonhauser

Publication date: 8 December 2015

Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)

Abstract: Encouraged by the study of extremal limits for sums of the form ${\displaystyle }$lim_{N oinfty}frac{1 }{N}sum_{n=1}^N c(x_n,y_n)${\displaystyle }$ with uniformly distributed sequences $x_n,,y_n$ the following extremal problem is of interest ${\displaystyle }$max_{gamma}int_{[0,1]^2}c(x,y)gamma(dx,dy),${\displaystyle }$ for probability measures $gamma$ on the unit square with uniform marginals, i.e., measures whose distribution function is a copula. The aim of this article is to relate this problem to combinatorial optimization and to the theory of optimal transport. Using different characterizations of maximizing $gamma$'s one can give alternative proofs of some results from the field of uniform distribution theory and beyond that treat additional questions. Finally, some applications to mathematical finance are addressed.

Full work available at URL: https://arxiv.org/abs/1502.06839

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zbMATH Keywords

linear assignment problemoptimal transportcopulasdistribution functions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Optimality conditions and duality in mathematical programming (90C46) Combinatorial optimization (90C27)

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Uses Software

• QRM

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