Distribution functions, extremal limits and optimal transport

DOI10.1016/J.INDAG.2015.05.003MaRDI QIDQ898076zbMATH OpenOpenAlexFDO

Authors Robert F. Tichy, Maria Rita Iacò, Stefan Thonhauser

Publication date 8 December 2015

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

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

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)

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.

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Cited in

(6)

• On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
• Optimal transport, independence versus indetermination duality, impact on a new copula design
• A remark on the optimal transport between two probability measures sharing the same copula
• Parseval's identity and optimal transport maps
• Reflection invariant copulas
• Bounds on integrals with respect to multivariate copulas

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