Comonotonic stochastic processes and generalized mean-square stochastic integral with applications (Q509623): Difference between revisions

The concept of co-monotonic stochastic processes is introduced, which looks like the concept of covariance function. Loosely speaking, the processes both increase together or decrease together. As the main result of this short note, the authors prove the Chebyshef inequality for two co-monotonic stochastic processes.