Comonotonic stochastic processes and generalized mean-square stochastic integral with applications (Q509623): Difference between revisions
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| English | Comonotonic stochastic processes and generalized mean-square stochastic integral with applications |
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Comonotonic stochastic processes and generalized mean-square stochastic integral with applications (English)
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17 February 2017
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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.
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comonotonic stochastic processes
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generalized mean-square stochastic integral
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Chebyshev inequality
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