Large deviations and variational theorems for marginal problems
Cattiaux, Patrick ; Gamboa, Fabrice
Bernoulli, Tome 5 (1999) no. 6, p. 81-108 / Harvested from Project Euclid
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On a product probability space (E ×F, P), we give variational characterizations for the existence of a probability measure Q with given marginals, such that Q is absolutely continuous with respect to P and its density satisfies some integrability conditions. These characterizations, which are in some sense the dual formulation of a theorem due to Strassen, are obtained by using large-deviations methods. We also study the minimal realizations of such Q.
Publié le : 1999-02-14
Classification:  large deviations,  marginal problems 
@article{1173707096,
     author = {Cattiaux, Patrick and Gamboa, Fabrice},
     title = {Large deviations and variational theorems for marginal problems},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 81-108},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1173707096}
}

Cattiaux, Patrick; Gamboa, Fabrice. Large deviations and variational theorems for marginal problems. Bernoulli, Tome 5 (1999) no. 6, pp.  81-108. http://gdmltest.u-ga.fr/item/1173707096/