Convex comparison of Gaussian mixtures

Benjamin Jourdain and Gilles Pagès

Journal of Multivariate Analysis, 2025, vol. 209, issue C

Abstract: Motivated by the study of the propagation of convexity by semi-groups of stochastic differential equations and convex comparison between the distributions of solutions of two such equations, we study the comparison for the convex order between a Gaussian distribution and a Gaussian mixture. We give and discuss intrinsic necessary and sufficient conditions for convex ordering. On the examples that we have worked out, the two conditions appear to be closely related.

Keywords: Convex order; Covariance matrices; Gaussian mixtures (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.jmva.2025.105448

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