Convex comparison of Gaussian mixtures
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866913540232708096 |
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| author | Jourdain, Benjamin Pagès, Gilles |
| author_facet | Jourdain, Benjamin Pagès, Gilles |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_07958 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Convex comparison of Gaussian mixtures Jourdain, Benjamin Pagès, Gilles Probability 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. |
| title | Convex comparison of Gaussian mixtures |
| topic | Probability |
| url | https://arxiv.org/abs/2410.07958 |