Comparison of time-inhomogeneous Markov processes

DOI10.1017/APR.2016.63zbMATH Open1384.60063arXiv1505.02925OpenAlexW2963540816MaRDI QIDQ2963683FDOQ2963683

Authors: Ludger Rüschendorf, Alexander Schnurr, Viktor Wolf 

Publication date: 21 February 2017

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

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.

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

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zbMATH Keywords

stochastic orderingMarkov processinfinitesimal generatorevolution systemprocesses with independent increments

Mathematics Subject Classification ID

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

Cited In (13)

• Time-inhomogeneous polynomial processes
• The time-dependent symbol of a non-homogeneous Itô process and corresponding maximal inequalities
• The martingale comparison method for Markov processes
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• The stochastic monotonicity of inhomogeneous Markov processes
• On a Comparison Result for Markov Processes
• Comparison of Markov processes via infinitesimal generators
• Couplings for processes with independent increments
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• Markov projection of semimartingales -- application to comparison results
• Association and other forms of positive dependence for Feller evolution systems
• Propagation of chaos: a review of models, methods and applications. I: Models and methods

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