On stochastic ordering for diffusion with jumps and applications

Xinsheng Zhang

Statistics & Probability Letters, 2007, vol. 77, issue 6, 614-620

Abstract: We study the stochastic ordering for diffusion processes with jumps. A new comparison theorem for diffusion processes with jumps is obtained. We then apply this comparison theorem to discuss the existence and uniqueness of invariant probability measure for uniformly elliptic diffusion processes with jumps.

Keywords: Invariant; probability; measure; Comparison; theorem; Diffusion; processes; with; jumps (search for similar items in EconPapers)
Date: 2007
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