Mean residual life processes and associated submartingales

DOI10.1007/S10959-018-0865-6zbMATH Open1465.60019arXiv1807.05932OpenAlexW2884508328WikidataQ129086729 ScholiaQ129086729MaRDI QIDQ2297315FDOQ2297315

Authors: Antoine-Marie Bogso 

Publication date: 18 February 2020

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We use Madan-Yor's argument to construct associated submartingales to a class of two-parameter processes that are ordered by the increasing convex dominance. This class includes processes which have MTP${}_2$ integrated survival functions. We prove that the integrated survival function of an integrable two-parameter process is MTP${}_2$ if and only if it is TP${}_2$ in each pair of arguments when the remaining argument is fixed. This result can not be deduced from known results since there are several two-parameter processes whose integrated survival functions do not have interval support. The MTP${}_2$ property of certain MRL processes is useful to exhibit numerous other processes having the same property.

Full work available at URL: https://arxiv.org/abs/1807.05932

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zbMATH Keywords

total positivityMRL orderingCox-Hobson algorithmincomplete Markov processestwo-parameter submartingales

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Other notions of convexity in relation to several complex variables (32F17)

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Cited In (1)

• MRL order, log-concavity and an application to peacocks

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