Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors

DOI10.1214/AOP/1176989397zbMATH Open0771.60017OpenAlexW2159291222MaRDI QIDQ2365740FDOQ2365740

Authors: Gennady Samorodnitsky, Murad S. Taqqu 

Publication date: 29 June 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989397

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• scientific article; zbMATH DE number 910926

zbMATH Keywords

stabilitystable processesstochastic monotonicityinfinitely divisible random vectorsSlepian inequality

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15)

Cited In (17)

• Extremes of Gaussian chaos processes with trend
• Approximation of maximum of Gaussian random fields
• A remark on stochastic monotonicity
• Stochastic ordering of classical discrete distributions
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
• Slepian's inequality, modularity and integral orderings
• Stochastic comparison for Lévy-type processes
• On characterization of multivariate stable distributions via random linear statistics
• Extremes of Gaussian random fields with regularly varying dependence structure
• On some estimates based on sample behavior near high level excursions
• Approximation of supremum of max-stable stationary processes \& Pickands constants
• Stochastic monotonicity and duality for one-dimensional Markov processes
• Set-valued stochastic integrals for convoluted Lévy processes
• Lévy measures of infinitely divisible random vectors and Slepian inequalities
• On generalised Piterbarg constants
• Stochastic comparison and preservation of positive correlations for Lévy-type processes

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