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Symmetric representations of bivariate distributions

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  • Domansky, Victor

Abstract

We construct symmetric decompositions of bivariate distributions with given mean values into convex combinations of distributions with supports containing not more than three points and with the same mean values. We use these decompositions for constructing representations of bivariate random variables by means of a Brownian motion stopped at random times.

Suggested Citation

  • Domansky, Victor, 2013. "Symmetric representations of bivariate distributions," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1054-1061.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:4:p:1054-1061
    DOI: 10.1016/j.spl.2012.12.026
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    References listed on IDEAS

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    1. Victor C. Domansky & Victoria L. Kreps, 2009. "Repeated games with asymmetric information and random price fluctuations at finance markets: the case of countable state space," Documents de travail du Centre d'Economie de la Sorbonne 09040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised May 2009.
    2. Robert J. Aumann, 1995. "Repeated Games with Incomplete Information," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262011476, April.
    3. Gerhard Winkler, 1988. "Extreme Points of Moment Sets," Mathematics of Operations Research, INFORMS, vol. 13(4), pages 581-587, November.
    4. Victor C. Domansky & Victoria L. Kreps, 2009. "Repeated games with asymmetric information and random price fluctuations at finance markets : the case of countable state space," Post-Print halshs-00390701, HAL.
    Full references (including those not matched with items on IDEAS)

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