Mean stochastic comparison of diffusions

DOI10.1007/BF00532643zbMath0537.60050MaRDI QIDQ3322949

Bruce Hajek

Publication date: 1985

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

optimal control; stochastic control; stochastic differential equations; Lyapunov functions; comparison theorems; local time; stochastic domination; two parameter processes

Mathematics Subject Classification ID

60G60: Random fields

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

Related Items

The mean comparison theorem cannot be extended to the Poisson case, Comparison of solutions of stochastic equations and applications, A maximum a posteriori estimator for trajectories of diffusion processes, A maximum a posteriori estimator for trajectories of diffusion processes, A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation, A comparison principle for certain convex functionals of a diffusion process without drift, Volatility time and properties of option prices, Comparison results for stochastic volatility models via coupling, On stochastic ordering for diffusion with jumps and applications

Cites Work

• A comparison theorem for solutions of stochastic differential equations and its applications
• Liapunov criteria for weak stochastic stability
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item