On c-optimal random variables

Statistics and Probability Letters

Volumn 27, Issue 3, 1996, Pages 267-270

  Rüschendorf, Ludger ^a  

^a Abteilung fur Mathematische Stochastik   (Germany)

Author keywords

C cyclically monotone functions; Marginal problem; Optimal couplings

Indexed keywords

EID: 0030584978     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00078-X     Document Type: Article

References (9)

1. Cuesta-Albertos, J.A., L. Rüschendorf and A. Tuero-Diaz (1993), Optimal coupling of multivariate distributions and stochastic processes, J. Mult. Anal. 46, 335-361.
2. Dietrich, H. (1988), Zur c-Konvexität und c-Subdifferenzierbarkeit von Funktionalen, Optimization 19, 355-371.
3. Rachev, S.T. (1991), Probability Metrics and the Stability of Stochastic Models (Wiley, New York).
4. Ramachandran, D. (1979), Perfect Measures, I and II, ISI Lecture Notes Ser. 5 and 7 (McMillan, New Delhi).
5. Ramachandran, D. and L. Rüschendorf (1995), A general duality theorem for marginal problems, Probab. Theory Related Fields 101, 311-319.
6. 2-distance. J. Mult. Analysis 32, 48-54.
7. Rüschendorf, L. (1991), Fréchet bounds and their applications, in: Dall'Aglio, Katz and Salinetti, eds., Advances in Probability Measures with given Marginals (Kluwer, Dordrecht) pp. 151-188.
8. Rüschendorf, L. (1993), Optimal solutions of multivariate coupling problems, preprint. to appear in: Appl. Math.
9. Smith, C. and M. Knott (1992), On Hoeffding Fréchet bounds and cyclic monotone relations, J. Mult. Anal. 40, 328-334.