Advances in complete mixability

Advances in complete mixability

Giovanni Puccetti, Bin Wang, and Ruodu Wang

Source: J. Appl. Probab. Volume 49, Number 2 (2012), 430-440.

Abstract

The concept of complete mixability is relevant to some problems of optimal couplings with important applications in quantitative risk management. In this paper we prove new properties of the set of completely mixable distributions, including a completeness and a decomposition theorem. We also show that distributions with a concave density and radially symmetric distributions are completely mixable.

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Primary Subjects: 60E05

Secondary Subjects: 91B30

Keywords: Complete mixability; multivariate dependence; concave density; radially symmetric distribution; optimal coupling

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.jap/1339878796
Digital Object Identifier: doi:10.1239/jap/1339878796
Zentralblatt MATH identifier: 06053721
Mathematical Reviews number (MathSciNet): MR2977805

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References

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