We characterize some bivariate semicopulas and, among them, the semicopulas satisfying a Lipschitz condition. In particular, the characterization of harmonic semicopulas allows us to introduce a new concept of depedence between two random variables. The notion of multivariate semicopula is given and two applications in the theory of fuzzy measures and stochastic processes are given.
Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are...
We apply the method of projecting functions onto convex cones in Hilbert spaces to derive sharp upper bounds for the expectations of spacings from i.i.d. samples coming from restricted families of distributions. Two families are considered: distributions with decreasing density and with decreasing failure rate. We also characterize the distributions for which the bounds are attained.
We determine the optimal constants in the moment inequalities , 1 ≤ p< q< ∞, where f = (fₙ), g = (gₙ) are two martingales, adapted to the same filtration, satisfying |dgₙ| ≤ |dfₙ|, n = 0,1,2,..., with probability 1. Furthermore, we establish related sharp estimates ||g||₁ ≤ supₙΦ(|fₙ|) + L(Φ), where Φ is an increasing convex function satisfying certain growth conditions and L(Φ) depends only on Φ.
We provide sharp upper bounds for the mean of the future order statistics based on observed r order statistics. These bounds are expressed in terms of various scale units. We also determine the probability distributions for which the bounds are attained.
We derive the equivalence of different forms of Gaussian type shift inequalities. This completes previous results by Bobkov. Our argument strongly relies on the Gaussian model for which we give a geometric approach in terms of norms of barycentres. Similar inequalities hold in the discrete setting; they improve the known results on the so-called isodiametral problem for the discrete cube. The study of norms of barycentres for subsets of convex bodies completes the exposition.
A certain inequality conjectured by Vershynin is studied. It is proved that for any symmetric convex body K ⊆ ℝⁿ with inradius w and γₙ(K) ≤ 1/2 we have for any s ∈ [0,1], where γₙ is the standard Gaussian probability measure. Some natural corollaries are deduced. Another conjecture of Vershynin is proved to be false.
We give a characterization of those probability measures on the real line which satisfy certain Sobolev inequalities. Our starting point is a simpler approach to the Bobkov-Götze characterization of measures satisfying a logarithmic Sobolev inequality. As an application of the criterion we present a soft proof of the Latała-Oleszkiewicz inequality for exponential measures, and describe the measures on the line which have the same property. New concentration inequalities for product measures follow....
In this paper we are exploiting some similarities between Markov and Bellman processes and we introduce the main concepts of the paper: comparison of performance measures, and monotonicity of Bellman chains. These concepts are used to establish the main result of this paper dealing with comparison of Bellman chains.