TY - JOUR
T1 - Stochastic comparison and preservation of positive correlations for Lévy-type processes
AU - Wang, Jie Ming
PY - 2009/5
Y1 - 2009/5
N2 - The stochastic comparison and preservation of positive correlations for Lévy-type processes on d are studied under the condition that Lévy measure ν satisfies ∫{0<|z|≤} |z||ν(x, dz) - ν(x, d(-z))| < ∞, x ε ℝd , while the sufficient conditions and necessary ones for them are obtained. In some cases the conditions for stochastic comparison are not only sufficient but also necessary.
AB - The stochastic comparison and preservation of positive correlations for Lévy-type processes on d are studied under the condition that Lévy measure ν satisfies ∫{0<|z|≤} |z||ν(x, dz) - ν(x, d(-z))| < ∞, x ε ℝd , while the sufficient conditions and necessary ones for them are obtained. In some cases the conditions for stochastic comparison are not only sufficient but also necessary.
KW - Lévy-type processes
KW - Preservation of positive correlations
KW - Stochastic comparison
UR - http://www.scopus.com/inward/record.url?scp=65549122973&partnerID=8YFLogxK
U2 - 10.1007/s10114-009-7670-1
DO - 10.1007/s10114-009-7670-1
M3 - Article
AN - SCOPUS:65549122973
SN - 1439-8516
VL - 25
SP - 741
EP - 758
JO - Acta Mathematica Sinica, English Series
JF - Acta Mathematica Sinica, English Series
IS - 5
ER -