Generalisation of Hajek's stochastic comparison results to stochastic sums

DOI10.1155/2016/1018509MaRDI QIDQ507680zbMATH OpenOpenAlexWikidataFDO

Authors Jörg Kampen

Publication date 7 February 2017

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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.

Review text

Summary: Hajek's univariate stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monotonic nondecreasing convex data functions for processes with and without drift, respectively. As a consequence strategies for a class of multivariate optimal control problems can be determined by maximizing variance. An example is passport options written on multivariate traded accounts. The argument describes a narrow path between impossibilities of generalisations to jump processes or impossibilities of more general data functions.

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Cited in

(1)

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

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