Positive dependence orderings and stopping times

Marco Scarsini and Bruno Bassan

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Abstract: We study the positive dependence of pairs of stochastic processes and examine its relation with the properties of certain stopping times. Some special cases, such as dependent random walks, Gaussian processes and exchangeable sequences of elliptically contoured random variables, are taken into account.

Keywords: Stochastic orderings; bivariate random walks; bivariate Gaussian processes; exchangeable sequences (search for similar items in EconPapers)
Date: 1994
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Published in Annals of the Institute of Statistical Mathematics, 1994, Vol. 46, N°2, pp. 333-342. ⟨10.1007/BF01720589⟩

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Journal Article: Positive dependence orderings and stopping times (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00541820

DOI: 10.1007/BF01720589

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