Comparison of time-inhomogeneous Markov processes

DOI10.1017/APR.2016.63MaRDI QIDQ2963683zbMATHOpenAlexFDO

Authors Ludger Rüschendorf, Alexander Schnurr, Viktor Wolf

Publication date 21 February 2017

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.02925

zbMATH Keywords

stochastic orderingMarkov processinfinitesimal generatorevolution systemprocesses with independent increments

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Transition functions, generators and resolvents (60J35)

Abstract: Comparison results are given for time-inhomogeneous Markov processes with respect to function classes induced stochastic orderings. The main result states comparison of two processes, provided that the comparability of their infinitesimal generators as well as an invariance property of one process is assumed. The corresponding proof is based on a representation result for the solutions of inhomogeneous evolution problems in Banach spaces, which extends previously known results from the literature. Based on this representation, an ordering result for Markov processes induced by bounded and unbounded function classes is established. We give various applications to time-inhomogeneous diffusions, to processes with independent increments and to L'evy driven diffusion processes.

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