Let $mathcalP$ be the collection of Borel probability measures on $mathbbR$, equipped with the weak topology, and let $mu:[0,1] ightarrowmathcalP$ be a continuous map. Say that $mu$ is presentable if $X_tsimmu_t$, $tin [0,1]$, for some real process $X$ with continuous paths. It may be that $mu$ fails to be presentable. Hence, firstly, conditions for presentability are given. For instance, $mu$ is presentable if $mu_t$ is supported by an interval (possibly, by a singleton) for all but countably many $t$. Secondly, assuming $mu$ presentable, we investigate whether the quantile process $Q$ induced by $mu$ has continuous paths. The latter is defined, on the probability space $((0,1),mathcalB(0,1),,$Lebesgue measure$)$, by egingather* Q_t(alpha)=inf,iglxinmathbbR:mu_t(-infty,x]gealphaiglquadquad extfor all tin [0,1] ext and alphain (0,1). endgather* A few open problems are discussed as well.

On the existence of continuous processes with given one-dimensional distributions / Luca Pratelli; Pietro Rigo. - In: ELECTRONIC COMMUNICATIONS IN PROBABILITY. - ISSN 1083-589X. - ELETTRONICO. - 24:(2019), pp. 46.1-46.9. [10.1214/19-ecp255]

On the existence of continuous processes with given one-dimensional distributions

Pietro Rigo
2019

Abstract

Let $mathcalP$ be the collection of Borel probability measures on $mathbbR$, equipped with the weak topology, and let $mu:[0,1] ightarrowmathcalP$ be a continuous map. Say that $mu$ is presentable if $X_tsimmu_t$, $tin [0,1]$, for some real process $X$ with continuous paths. It may be that $mu$ fails to be presentable. Hence, firstly, conditions for presentability are given. For instance, $mu$ is presentable if $mu_t$ is supported by an interval (possibly, by a singleton) for all but countably many $t$. Secondly, assuming $mu$ presentable, we investigate whether the quantile process $Q$ induced by $mu$ has continuous paths. The latter is defined, on the probability space $((0,1),mathcalB(0,1),,$Lebesgue measure$)$, by egingather* Q_t(alpha)=inf,iglxinmathbbR:mu_t(-infty,x]gealphaiglquadquad extfor all tin [0,1] ext and alphain (0,1). endgather* A few open problems are discussed as well.
2019
On the existence of continuous processes with given one-dimensional distributions / Luca Pratelli; Pietro Rigo. - In: ELECTRONIC COMMUNICATIONS IN PROBABILITY. - ISSN 1083-589X. - ELETTRONICO. - 24:(2019), pp. 46.1-46.9. [10.1214/19-ecp255]
Luca Pratelli; Pietro Rigo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/733972
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