A functional equation whose unknown is P([0,1]) valued
Probability
2012-11-12 v3 Statistics Theory
Statistics Theory
Abstract
We study a functional equation whose unknown maps a Euclidean space into the space of probability distributions on [0,1]. We prove existence and uniqueness of its solution under suitable regularity and boundary conditions, we show that it depends continuously on the boundary datum, and we characterize solutions that are diffuse on [0,1]. A canonical solution is obtained by means of a Randomly Reinforced Urn with different reinforcement distributions having equal means. The general solution to the functional equation defines a new parametric collection of distributions on [0,1] generalizing the Beta family.
Cite
@article{arxiv.0905.3310,
title = {A functional equation whose unknown is P([0,1]) valued},
author = {Giacomo Aletti and Caterina May and Piercesare Secchi},
journal= {arXiv preprint arXiv:0905.3310},
year = {2012}
}
Comments
31 pages, pre-galleys version of accepted paper