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Equivalent or absolutely continuous probability measures with given marginals

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Berti P., Pratelli L., Rigo P., Spizzichino F.

Dependence Modeling

2015

tom 3

nr 1

Let (X,A) and (Y,B) be measurable spaces. Supposewe are given a probability α on A, a probability β on B and a probability μ on the product σ-field A ⊗ B. Is there a probability ν on A⊗B, with marginals α and β, such that ν ≪ μ or ν ~ μ ? Such a ν, provided it exists, may be useful with regard to equivalent martingale measures and mass transportation. Various conditions for the existence of ν are provided, distinguishing ν ≪ μ from ν ~ μ.

Ograniczanie wyników

1 Dependence Modeling

1 Berti P.

1 Pratelli L.

1 Rigo P.

1 Spizzichino F.

1 2015

Wyniki wyszukiwania

Equivalent or absolutely continuous probability measures with given marginals