MRL order, log-concavity and an application to peacocks

Antoine Marie Bogso

Stochastic Processes and their Applications, 2015, vol. 125, issue 4, 1282-1306

Abstract: We provide an equivalent log-concavity condition to the mean residual life (MRL) ordering for real-valued processes. This result, combined with classical properties of total positivity of order 2, allows to exhibit new families of integrable processes which increase in the MRL order (MRL processes). Note that MRL processes with constant mean are peacocks to which the Azéma–Yor (Skorokhod embedding) algorithm yields an explicit associated martingale.

Keywords: MRL order; Log-concavity; Peacocks; Martingales; Markov processes (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2014.10.015

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