Convex orderings for stochastic processes
Commentationes Mathematicae Universitatis Carolinae, Tome 32 (1991) no. 1, pp. 115-118
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We consider partial orderings for stochastic processes induced by expectations of convex or increasing convex (concave or increasing concave) functionals. We prove that these orderings are implied by the analogous finite dimensional orderings.
Classification :
60E99, 60G07, 60G99
Keywords: stochastic orders; convex orders; orders for random processes
Keywords: stochastic orders; convex orders; orders for random processes
@article{CMUC_1991__32_1_a11,
author = {Bassan, Bruno and Scarsini, Marco},
title = {Convex orderings for stochastic processes},
journal = {Commentationes Mathematicae Universitatis Carolinae},
pages = {115--118},
publisher = {mathdoc},
volume = {32},
number = {1},
year = {1991},
mrnumber = {1118294},
zbl = {0731.60048},
language = {en},
url = {http://geodesic.mathdoc.fr/item/CMUC_1991__32_1_a11/}
}
TY - JOUR AU - Bassan, Bruno AU - Scarsini, Marco TI - Convex orderings for stochastic processes JO - Commentationes Mathematicae Universitatis Carolinae PY - 1991 SP - 115 EP - 118 VL - 32 IS - 1 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/CMUC_1991__32_1_a11/ LA - en ID - CMUC_1991__32_1_a11 ER -
Bassan, Bruno; Scarsini, Marco. Convex orderings for stochastic processes. Commentationes Mathematicae Universitatis Carolinae, Tome 32 (1991) no. 1, pp. 115-118. http://geodesic.mathdoc.fr/item/CMUC_1991__32_1_a11/