Approximation with Independent Variables

Freddy Delbaen and Chitro Majumdar

Chapter 9 in Peter Carr Gedenkschrift:Research Advances in Mathematical Finance, 2023, pp 311-327 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Given a square integrable m-dimensional random variable X on a probability space (Ω, ℱ, ℙ) and a sub sigma-algebra 𝒜, we show that there exists another m-dimensional random variable Y, independent of 𝒜 and minimizing the L2 distance to X. Such results have an importance to fairness and bias reduction in artificial intelligence, machine learning and network theory.

Keywords: Mathematical Finance; Quantitative Finance; Option Pricing; Derivatives; No Arbitrage; Asset Price Bubbles; Asset Pricing; Equilibrium; Volatility; Diffusion Processes; Jump Processes; Stochastic Integration; Trading Strategies; Portfolio Theory; Optimization; Securities; Bonds; Commodities; Futures (search for similar items in EconPapers)
JEL-codes: C02 C6 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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