Mean residual life processes and associated submartingales

DOI10.1007/S10959-018-0865-6MaRDI QIDQ2297315zbMATH OpenOpenAlexWikidataFDO

Authors Antoine-Marie Bogso

Publication date 18 February 2020

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

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

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)

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.

Recommendations

• MRL order, log-concavity and an application to peacocks
• An application of multivariate total positivity to peacocks
• scientific article; zbMATH DE number 4209226
• scientific article; zbMATH DE number 3915329
• Dynamic multivariate mean residual life functions

Cites work

• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 3597130 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3800679 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• A new proof of Kellerer's theorem
• An Inequality for Rearrangements
• Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
• Comparison methods for stochastic models and risks
• MRL order, log-concavity and an application to peacocks
• Making Markov martingales meet marginals: With explicit constructions
• On analytical methods for incomplete Markov random fields
• Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks
• Optimal transport and Skorokhod embedding
• Peacocks and associated martingales, with explicit constructions
• Peacocks parametrised by a partially ordered set
• Skorokhod embeddings, minimality and non-centred target distributions
• Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm
• Stochastic orders
• The Skorokhod embedding problem and its offspring
• Total Positivity, Absorption Probabilities and Applications
• Total positivity in Markov structures
• Two-parameter markov processes

Cited in

(1)

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

This page was built for publication: Mean residual life processes and associated submartingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2297315)