Couplings for processes with independent increments

David Criens

Statistics & Probability Letters, 2019, vol. 146, issue C, 161-167

Abstract: Strassen’s theorem states that the usual stochastic order of two processes is equivalent to the existence of a pathwise ordered coupling. In the case of processes with independent increments, we construct explicit pathwise ordered couplings under suitable conditions on the characteristics of the processes. To formalize the couplings we use independent decompositions, a redistribution mechanism for jumps and Itô’s map, which relates general Lévy measures to a reference Lévy measure.

Keywords: Stochastic order; Coupling; Independent increments (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2018.11.016

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