On c-optimal random variables

Ludger Rüschendorf

Statistics & Probability Letters, 1996, vol. 27, issue 3, 267-270

Abstract: A characterization is proved for random variables which are optimal couplings w.r.t. a general function c. It turns out that on very general probability spaces optimal couplings can be characterized by generalized subgradients of c-convex functions. An interesting application of optimal couplings are minimal lp-metrics.

Keywords: Optimal; couplings; c-cyclically; monotone; functions; Marginal; problem (search for similar items in EconPapers)
Date: 1996
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