Comparison of Markov processes via infinitesimal generators

Rüschendorf Ludger and Wolf Viktor
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Wolf Viktor: University of Freiburg, Mathematische Stochastik, Freiburg, Deutschland

Statistics & Risk Modeling, 2011, vol. 28, issue 2, 151-168

Abstract: We derive comparison results for Markov processes with respect to stochastic orderings induced by function classes. Our main result states that stochastic monotonicity of one process and comparability of the infinitesimal generators implies ordering of the processes. Unlike in previous work no boundedness assumptions on the function classes are needed anymore. We also present an integral version of the comparison result which does not need the local comparability assumption of the generators. The method of proof is also used to derive comparison results for time-discrete Markov processes.

Keywords: stochastic ordering; stochasticmonotonicity; Markov processes; infinitesimal generators (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1524/stnd.2011.1068

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