This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson (1994), that efficiency is characterized by a comonotonicity condition. The goal of the paper is to...

A simple procedure to map two probability measures in Rd is the so-called Knothe-Rosenblatt rearrangement, which consists in rearranging monotonically the marginal distributions of the last coordinate, and then the conditional distributions, iteratively. We show that this mapping is the limit of...

We consider an evolution equation similar to that introduced by Vese in [10] and whose solution converges in large time to the convex envelope of the initial datum. We give a stochastic control representation for the solution from which we deduce, under quite general assumptions that the...