IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v135y2018icp127-131.html
   My bibliography  Save this article

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

Author

Listed:
  • Criens, David

Abstract

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

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715217303462
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.spl.2017.11.002?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

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

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Khan, Ruhul Ali & Bhattacharyya, Dhrubasish & Mitra, Murari, 2021. "On some properties of the mean inactivity time function," Statistics & Probability Letters, Elsevier, vol. 170(C).
    2. Tapiero, Charles, 2003. "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers DR 03014, ESSEC Research Center, ESSEC Business School.
    3. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
    4. Ohnishi, Masamitsu & Osaki, Yusuke, 2006. "The comparative statics on asset prices based on bull and bear market measure," European Journal of Operational Research, Elsevier, vol. 168(2), pages 291-300, January.
    5. Kirmani, Syed N. U. A. & Dauxois, Jean-Yves, 2003. "Testing relative risk under random censoring," Statistics & Probability Letters, Elsevier, vol. 62(1), pages 1-7, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:135:y:2018:i:c:p:127-131. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.