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A note on the monotone stochastic order for processes with independent increments

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  • Criens, David

Abstract

We construct a coupling of two processes with independent increments which proves conditions for a monotone stochastic order.

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  • Criens, David, 2018. "A note on the monotone stochastic order for processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 127-131.
    • Handle: RePEc:eee:stapro:v:135:y:2018:i:c:p:127-131
    DOI: 10.1016/j.spl.2017.11.002
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    References listed on IDEAS

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    1. Masaaki Kijima & Masamitsu Ohnishi, 1999. "Stochastic orders and their applications in financial optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 351-372, October.
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    Cited by:

    1. Criens, David, 2019. "Couplings for processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 161-167.

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