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.

Advances in complete mixability / G. Puccetti; B. Wang; R. Wang. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - ELETTRONICO. - 49:(2012), pp. 430-440. [10.1239/jap/1339878796]

Advances in complete mixability

PUCCETTI, GIOVANNI;
2012

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.
49
430
440
G. Puccetti; B. Wang; R. Wang
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2158/643914
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