English

How to quantise probabilities while preserving their convex order

Probability 2022-06-22 v1

Abstract

We introduce an algorithm which, given probabilities μcxν\mu \leq_{\text{cx}} \nu in convex order and defined on a separable Banach space BB, constructs finitely-supported approximations μnμ,νnν\mu_n \to \mu, \nu_n\to \nu which are in convex order μncxνn\mu_n \leq_{\text{cx}} \nu_n. We provide upper-bounds for the speed of convergence, in terms of the Wasserstein distance. We discuss the (dis)advantages of our algorithm and its link with the discretisation of the Martingale Optimal Transport problem, and we illustrate its implementation with numerical examples. We study the operation which, given μ\mu/ν\nu and some (finite) partition of BB, outputs μn\mu_n/νn\nu_n, showing that applied to a probability γ\gamma and to all partitions it outputs the set of all probabilities ζcxγ\zeta \leq_{\text{cx}} \gamma.

Keywords

Cite

@article{arxiv.2206.10514,
  title  = {How to quantise probabilities while preserving their convex order},
  author = {Marco Massa and Pietro Siorpaes},
  journal= {arXiv preprint arXiv:2206.10514},
  year   = {2022}
}
R2 v1 2026-06-24T11:58:47.409Z