Quantizations of probability measures and preservation of the convex order

DOI10.1016/j.spl.2015.09.001zbMath1356.60026OpenAlexW1845439325MaRDI QIDQ900963

David M. Baker

Publication date: 23 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.09.001

zbMATH Keywords

quantizationconvex ordermartingale transition

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability measures on topological spaces (60B05)

Related Items (4)

Best finite constrained approximations of one-dimensional probabilities ⋮ Quantization and martingale couplings ⋮ Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures ⋮ Convex order, quantization and monotone approximations of ARCH models

Cites Work

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• Making Markov martingales meet marginals: With explicit constructions
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• Foundations of quantization for probability distributions
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• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• The Existence of Probability Measures with Given Marginals
• Equivalent Comparisons of Experiments
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