Comparing Brownian Stochastic Integrals for the Convex Order

Francis Hirsch () and Marc Yor ()
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Francis Hirsch: Université d’Évry-Val d’Essonne
Marc Yor: Université Paris VI et VII

A chapter in Modern Stochastics and Applications, 2014, pp 3-19 from Springer

Abstract: Abstract We show that, in general, inequalities between integrands with respect to Brownian motion do not lead to majorization in the convex order for the corresponding stochastic integrals. Particular examples and counterexamples are discussed.

Keywords: Convex Order; Stochastic Integral; Stochastic Differential Equation Method; Inverse Martingale; Nonnegative Borel Function (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-319-03512-3_1

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DOI: 10.1007/978-3-319-03512-3_1

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