Work

Convex comparison of Gaussian mixtures

Year: 2025

Type: article

Abstract: 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.

Source: Journal of Multivariate Analysis

DOI: 10.1016/j.jmva.2025.105448

Authors: Benjamin Jourdain, Gilles Pagès

Institutions: CERMICS, MATHRISK: Mathematical Risk handling, Laboratoire de Probabilités, Statistique et Modélisation

Language: English

Topic: Mathematical Inequalities and Applications

Subfield: Applied Mathematics

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,310

Funder: Fondation du Risque