Search results for "convex stochastic order"

Conditional convex orders and measurable martingale couplings

2014

Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling. By analyzing topological properties of spaces of probability measures equipped with a Wasserstein metric and applying a measurable selection theorem, we prove a conditional version of this result for real-valued random variables conditioned on a random element taking values in a general measurable space. We also provide an analogue of the conditional martingale coupling theorem in the language of probability kernels and illustrate how this result can be appli…