Fusions of a Probability DistributionThe Annals of Probability
AbstractStarting with a Borel probability measure P on X (where X is a separable Banach space or a compact metrizable convex subset of a locally convex topological vector space), the class F(P), called the fusions of P, consists of all Borel probability measures on X which can be obtained from P by fusing parts of the mass of P, that is, by collapsing parts of the mass of P to their respective barycenters. The class F(P) is shown to be convex, and the ordering induced on the space of all Borel probability measures by Q≤ P if and only if Qε F(P) is shown to be transitive and to imply the convex domination ordering. If P has a finite mean, then F(P) is uniformly integrable and Q≤ P is equivalent to Q convexly dominated by P and hence equivalent to the pair (Q, P) being martingalizable. These ideas are applied to obtain new martingale inequalities and a solution to a cost-reward problem concerning optimal fusions of a finite-dimensional distribution.
Citation InformationJ. Elton and Theodore P. Hill. "Fusions of a Probability Distribution" The Annals of Probability Vol. 20 Iss. 1 (1992) p. 421 - 454
Available at: http://works.bepress.com/tphill/44/