Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks

DOI10.1007/978-3-642-27461-9_16zbMath1266.60028OpenAlexW2140436670MaRDI QIDQ2908748

Christophe Profeta, Antoine-Marie Bogso, Bernard Roynette

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27461-9_16

zbMATH Keywords

conditionally monotone processesPeacocksstrong peacocksvery strong peacocks

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Stochastic processes (60G99) Other notions of convexity in relation to several complex variables (32F17)

Related Items (1)

MRL order, log-concavity and an application to peacocks

Cites Work

• Unnamed Item
• Unnamed Item
• Peacocks and associated martingales, with explicit constructions
• Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets
• From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
• Stochastic orders
• A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
• Time reversal on Lévy processes
• A queueing theoretical proof of increasing property of Polya frequency functions
• Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• On Pólya frequency functions. I. The totally positive functions and their Laplace transforms
• Some Examples of Peacocks in a Markovian Set-Up
• Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I
• Inequalities for E k(X, Y) when the marginals are fixed
• On stochastic comparison of random vectors
• Increasing Properties of Polya Frequency Function

This page was built for publication: Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks