Stochastic comparison and preservation of positive correlations for Lévy-type processes

Jie Ming Wang

doi:10.1007/s10114-009-7670-1

Stochastic comparison and preservation of positive correlations for Lévy-type processes

Jie Ming Wang

School of Mathematics and Statistics

Beijing Normal University

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

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 ℝ^d , 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.

Original language	English
Pages (from-to)	741-758
Number of pages	18
Journal	Acta Mathematica Sinica, English Series
Volume	25
Issue number	5
DOIs	https://doi.org/10.1007/s10114-009-7670-1
Publication status	Published - May 2009

Keywords

Lévy-type processes
Preservation of positive correlations
Stochastic comparison

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10.1007/s10114-009-7670-1

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Stochastic comparison and preservation of positive correlations for Lévy-type processes

Abstract

Keywords

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