Stochastic Comparison for Lévy-Type Processes

Jie-Ming Wang ()
Additional contact information
Jie-Ming Wang: Beijing Institute of Technology

Journal of Theoretical Probability, 2013, vol. 26, issue 4, 997-1019

Abstract: Abstract The main goal of this paper is to establish necessary and sufficient conditions for stochastic comparison of two general Lévy-type processes on ℝ d . By refining the test functions in Wang (Acta Math. Sin. Engl. Ser. 25:741–758, 2009), mainly the test functions of diffusion coefficients, we get the necessary conditions. The sufficiency of the conditions is obtained by constructing a new sequence of finite Lévy measures {ν n } n≥1 different from the one in Wang (Acta Math. Sin. Engl. Ser. 25:741–758, 2009) to approach the Lévy measure ν.

Keywords: Stochastic comparison; Stochastic monotonicity; Lévy-type processes; 60J25 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-011-0394-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:26:y:2013:i:4:d:10.1007_s10959-011-0394-z

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-011-0394-z

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().