Stochastic comparisons of Itô processes

Marco Scarsini, Bruno Bassan and Erhan Cinlare

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Abstract: Stochastic comparisons of Markov processes have mostly been in terms of transition functions or infinitesimal generators. For Itô processes, that is, solutions of stochastic differential equations, it is possible to obtain very intuitive comparisons in terms of three deterministic functions that govern the drift, diffusion, and jumps. Some further results on semimartingale Hunt processes show the detrimental effect of time changes upon such comparisons.

Keywords: Processus Markov; Processus Itô; Comparaison stochastique; Changement temps aléatoire; Caractéristique locale; Processus Hunt; Markov process; Semimartingale (search for similar items in EconPapers)
Date: 1993
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Published in Stochastic Processes and their Applications, 1993, Vol. 45, N°1, pp. 1-11. ⟨10.1016/0304-4149(93)90056-A⟩

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Journal Article: Stochastic comparisons of Itô processes (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00541960

DOI: 10.1016/0304-4149(93)90056-A

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