Generalisation of Hajek's stochastic comparison results to stochastic sums

DOI10.1155/2016/1018509zbMATH Open1384.60060arXiv1408.2992OpenAlexW2243050381WikidataQ59125086 ScholiaQ59125086MaRDI QIDQ507680FDOQ507680

Authors: Jörg Kampen 

Publication date: 7 February 2017

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Abstract: Hajek's stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monoton nondecreasing convex data functions for processes with and without drift respectively. The univariate result is recovered.

Full work available at URL: https://arxiv.org/abs/1408.2992

Recommendations

• A generalized summation of a random series
• scientific article; zbMATH DE number 7734230
• Some Generalizations of the Theory of Cumulative Sums of Random Variables
• A generalization of Chernoff inequality via stochastic analysis
• On almost sure convergence for sums of stochastic sequence
• scientific article; zbMATH DE number 4188878
• scientific article
• Generalization and refinement of the integro-local Stone theorem for sums of random vectors
• Generalization of \(h\)-convex stochastic processes and some classical inequalities
• CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS

zbMATH Keywords

Hajek's univariate stochastic comparisonpassport optionsstochastic sum processesunivariate convex data functions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60)

Cites Work

• The mean comparison theorem cannot be extended to the Poisson case
• Title not available (Why is that?)
• Mean stochastic comparison of diffusions
• Stochastic differential equations. An introduction with applications.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Strategies of Passport Options
• PASSPORT OPTIONS
• Passport options with stochastic volatility
• CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

Cited In (1)

• Options on a traded account: symmetric treatment of the underlying assets

This page was built for publication: Generalisation of Hajek's stochastic comparison results to stochastic sums

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q507680)