Stochastic processes generating Schur-convex sums (Q2182698): Difference between revisions

The authors study some particular notions of convexity in the context of stochastic processes, such as Jensen, Wright and ``usual'' convexity. As a novel concept, the notion of Schur convex stochastic processes is introduced as follows. If \((\Omega, \mathcal{A},P)\) is a probability space and \(I\) is a real interval, then a stochastic process \(S\colon I^n\times\Omega\to\mathbb{R}\) is said to be Schur convex if \(S(x,\cdot)\leq S(y,\cdot)\) a.e. whenever \(x\) is majorized by \(y\). In the paper, main attention is given to processes of the form \[ S_X(x_1,\dots,x_n,\omega)=X(x_1,\omega)+\ldots+X(x_n,\omega)\quad (x_1,\dots,x_n,\omega)\in I^n\times\Omega \] where \(X\colon I\times\Omega\to\mathbb{R}\) is a given process. Several connections between the various convexity properties of \(S_X\) and \(X\) are established.