Generalisation of Hajek's stochastic comparison results to stochastic sums

DOI10.1155/2016/1018509zbMath1384.60060arXiv1408.2992OpenAlexW2243050381WikidataQ59125086 ScholiaQ59125086MaRDI QIDQ507680

Jörg Kampen

Publication date: 7 February 2017

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

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

zbMATH Keywords

passport optionsHajek's univariate stochastic comparisonstochastic sum processesunivariate convex data functions

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

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