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Parametric stochastic convexity and concavity of stochastic processes

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  • Moshe Shaked
  • J. Shanthikumar

Abstract

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Suggested Citation

  • Moshe Shaked & J. Shanthikumar, 1990. "Parametric stochastic convexity and concavity of stochastic processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(3), pages 509-531, September.
    • Handle: RePEc:spr:aistmt:v:42:y:1990:i:3:p:509-531
    DOI: 10.1007/BF00049305
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    References listed on IDEAS

    as
    1. Shaked, Moshe & Shanthikumar, J. George, 1987. "Temporal stochastic convexity and concavity," Stochastic Processes and their Applications, Elsevier, vol. 27, pages 1-20.
    2. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
    3. J. George Shanthikumar & David D. Yao, 1987. "Optimal Server Allocation in a System of Multi-Server Stations," Management Science, INFORMS, vol. 33(9), pages 1173-1180, September.
    4. L. Rüschendorf, 1983. "Solution of a statistical optimization problem by rearrangement methods," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 30(1), pages 55-61, December.
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    Cited by:

    1. Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
    2. Fabrizio Durante, 2009. "Construction of non-exchangeable bivariate distribution functions," Statistical Papers, Springer, vol. 50(2), pages 383-391, March.
    3. Michel M. Denuit & Mhamed Mesfioui, 2016. "Multivariate Higher-Degree Stochastic Increasing Convexity," Journal of Theoretical Probability, Springer, vol. 29(4), pages 1599-1623, December.
    4. Chuancun Yin, 2019. "Stochastic Orderings of Multivariate Elliptical Distributions," Papers 1910.07158, arXiv.org, revised Nov 2019.
    5. Laureano Escudero & Eva-María Ortega, 2009. "How retention levels influence the variability of the total risk under reinsurance," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 139-157, July.
    6. Ortega, Eva-María & Escudero, Laureano F., 2010. "On expected utility for financial insurance portfolios with stochastic dependencies," European Journal of Operational Research, Elsevier, vol. 200(1), pages 181-186, January.
    7. Fco. Javier Martinez de Albeniz Salas & Carlos Rafels Pallarola, 2002. "A Note on Shapleys Convex Measure Games," Working Papers in Economics 91, Universitat de Barcelona. Espai de Recerca en Economia.
    8. J. M. Fernández-Ponce & M. R. Rodríguez-Griñolo, 2017. "New properties of the orthant convex-type stochastic orders," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(3), pages 618-637, September.
    9. Ceparano, Maria Carmela & Quartieri, Federico, 2017. "Nash equilibrium uniqueness in nice games with isotone best replies," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 154-165.
    10. Haijun Li & Susan H. Xu, 2001. "Directionally Convex Comparison of Correlated First Passage Times," Methodology and Computing in Applied Probability, Springer, vol. 3(4), pages 365-378, December.
    11. Denuit, Michel & Mesfioui, Mhamed, 2013. "Multivariate higher-degree stochastic increasing convexity," LIDAM Discussion Papers ISBA 2013016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Alec Morton, 2006. "Structural properties of network revenue management models: An economic perspective," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(8), pages 748-760, December.
    13. Alfred Müller & Marco Scarsini, 2001. "Stochastic Comparison of Random Vectors with a Common Copula," Mathematics of Operations Research, INFORMS, vol. 26(4), pages 723-740, November.
    14. Xie, Hongmei & Hu, Taizhong, 2010. "Some new results on multivariate dispersive ordering of generalized order statistics," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 964-970, April.
    15. Arlotto, Alessandro & Scarsini, Marco, 2009. "Hessian orders and multinormal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2324-2330, November.
    16. Ludolf E. Meester & J. George Shanthikumar, 1999. "Stochastic Convexity on General Space," Mathematics of Operations Research, INFORMS, vol. 24(2), pages 472-494, May.
    17. Stef Tijs & Rodica Brânzei, 2004. "Various characterizations of convex fuzzy games," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(2), pages 399-408, December.
    18. Massimo Marinacci & Luigi Montrucchio, 2005. "Ultramodular Functions," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 311-332, May.

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