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dc.contributor.authorLeskelä, Lasse
dc.contributor.authorVihola, Matti
dc.date.accessioned2017-05-18T06:37:00Z
dc.date.available2017-05-18T06:37:00Z
dc.date.issued2017
dc.identifier.citationLeskelä, L., & Vihola, M. (2017). Conditional convex orders and measurable martingale couplings. <i>Bernoulli</i>, <i>23</i>(4A), 2784-2807. <a href="https://doi.org/10.3150/16-BEJ827" target="_blank">https://doi.org/10.3150/16-BEJ827</a>
dc.identifier.otherCONVID_26998490
dc.identifier.otherTUTKAID_73752
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/54012
dc.description.abstractStrassen’s classical martingale coupling theorem states that two random vectors are ordered in the convex (resp. increasing convex) stochastic order if and only if they admit a martingale (resp. submartingale) coupling. By analysing topological properties of spaces of probability measures equipped with a Wasserstein metric and applying a measurable selection theorem, we prove a conditional version of this result for random vectors conditioned on a random element taking values in a general measurable space. We provide an analogue of the conditional martingale coupling theorem in the language of probability kernels, and discuss how it can be applied in the analysis of pseudo-marginal Markov chain Monte Carlo algorithms. We also illustrate how our results imply the existence of a measurable minimiser in the context of martingale optimal transport.
dc.language.isoeng
dc.publisherInternational Statistical Institute; Bernoulli Society for Mathematical Statistics and Probability
dc.relation.ispartofseriesBernoulli
dc.subject.otherconditional coupling
dc.subject.otherconvex stochastic order
dc.subject.otherincreasing convex stochastic order
dc.subject.othermartingale coupling
dc.subject.otherpointwise coupling
dc.subject.otherprobability kernel
dc.titleConditional convex orders and measurable martingale couplings
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-201705112285
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.contributor.oppiaineTilastotiedefi
dc.contributor.oppiaineStatisticsen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.date.updated2017-05-11T09:15:07Z
dc.type.coarjournal article
dc.description.reviewstatuspeerReviewed
dc.format.pagerange2784-2807
dc.relation.issn1350-7265
dc.relation.numberinseries4A
dc.relation.volume23
dc.type.versionpublishedVersion
dc.rights.copyright© 2017 ISI/BS. Published in this repository with the kind permission of the publisher.
dc.rights.accesslevelopenAccessfi
dc.relation.grantnumber274740
dc.subject.ysovektorit (matematiikka)
dc.subject.ysomatematiikka
dc.subject.ysokytkentä
dc.subject.ysostokastiset prosessit
jyx.subject.urihttp://www.yso.fi/onto/yso/p12298
jyx.subject.urihttp://www.yso.fi/onto/yso/p3160
jyx.subject.urihttp://www.yso.fi/onto/yso/p17795
jyx.subject.urihttp://www.yso.fi/onto/yso/p11400
dc.relation.doi10.3150/16-BEJ827
dc.relation.funderSuomen Akatemiafi
dc.relation.funderAcademy of Finlanden
jyx.fundingprogramAkatemiatutkijan tehtävä, SAfi
jyx.fundingprogramResearch post as Academy Research Fellow, AoFen


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