Parametrized Kantorovich-Rubinstein theorem and application to the coupling of random variables

Jérôme Dedecker (1) , Clémentine Prieur (2) , Paul Raynaud de Fitte (3)

1 LSTA - Laboratoire de Statistique Théorique et Appliquée
2 LSP - Laboratoire de Statistique et Probabilités
3 LMRS - Laboratoire de Mathématiques Raphaël Salem

We prove a version for random measures of the celebrated Kantorovich-Rubinstein duality theorem and we give an application to the coupling of random variables which extends and unifies known results.

Mots clés: Kantorovich-Rubinstein theorem; Minimal distance; Coupling of random variables

Domaines: Probabilités [math.PR]

Jérôme Dedecker, Clémentine Prieur, Paul Raynaud de Fitte. Parametrized Kantorovich-Rubinstein theorem and application to the coupling of random variables. 2004. ⟨hal-00002997v2⟩