Couplings for processes with independent increments

DOI10.1016/J.SPL.2018.11.016zbMATH Open1407.60066OpenAlexW2901571116MaRDI QIDQ1726862FDOQ1726862

Authors: David Criens 

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.11.016

Recommendations

• scientific article; zbMATH DE number 140561
• scientific article; zbMATH DE number 32163
• Connecting two semicontinuous processes with independent increments
• Coupling rate-independent and rate-dependent processes: existence results
• Set-indexed processes with independent increments
• scientific article; zbMATH DE number 4050686
• scientific article; zbMATH DE number 1302146
• scientific article; zbMATH DE number 758221
• Filtering of processes with independent increments

zbMATH Keywords

couplingstochastic orderindependent increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)

Cites Work

• Title not available (Why is that?)
• Probability. Theory and examples.
• Stochastic inequalities on partially ordered spaces
• Title not available (Why is that?)
• Convex ordering criteria for Lévy processes
• Comparison of semimartingales and Lévy processes
• Comparison of time-inhomogeneous Markov processes
• A note on the monotone stochastic order for processes with independent increments

Cited In (4)

• The martingale comparison method for Markov processes
• Title not available (Why is that?)
• Connecting two semicontinuous processes with independent increments
• Robustness of Delta Hedging in a Jump-Diffusion Model

This page was built for publication: Couplings for processes with independent increments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1726862)