Convex ordering for random vectors using predictable representation

DOI10.1007/S11118-008-9100-XMaRDI QIDQ956606zbMATH OpenOpenAlexFDO

Authors Marc Arnaudon, Jean-Christophe Breton, Nicolas Privault

Publication date 25 November 2008

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.4621

zbMATH Keywords

Brownian motionconvex orderingdeviation inequalitiesforward-backward stochastic calculusjump processes

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05)

Abstract: We prove convex ordering results for random vectors admitting a predictable representation in terms of a Brownian motion and a non-necessarily independent jump component. Our method uses forward-backward stochastic calculus and extends previous results in the one-dimensional case. We also study a geometric interpretation of convex ordering for discrete measures in connection with the conditions set on the jump heights and intensities of the considered processes.

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Cites work

• Comparison of option prices in semimartingale models
• Comparison of semimartingales and Lévy processes
• Convex concentration inequalities and forward-backward stochastic calculus
• scientific article; zbMATH DE number 3835011 (Why is no real title available?)
• On the optimal stopping values induced by general dependence structures
• The Existence of Probability Measures with Given Marginals

Cited in

(14)

• Supermodular ordering of Poisson arrays
• Stochastic ordering by \(g\)-expectations
• Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
• \( G\)-expectation approach to stochastic ordering
• Monotone convex order for the McKean-Vlasov processes
• Convex concentration for some additive functionals of jump stochastic differential equations
• A note on convex ordering for stable stochastic integrals
• scientific article; zbMATH DE number 5631027 (Why is no real title available?)
• scientific article; zbMATH DE number 1133210 (Why is no real title available?)
• Erratum to: Convex ordering for random vectors using predictable representation
• Convex comparison inequalities for non-Markovian stochastic integrals
• Robustness of Delta Hedging in a Jump-Diffusion Model
• A coupling proof of convex ordering for compound distributions
• Convex concentration inequalities and forward-backward stochastic calculus

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