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.

Recommendations

• A generalized summation of a random series
• Stochastic summability and its applications to probability theory
• 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; zbMATH DE number 5769798
• 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

Cites work

• scientific article; zbMATH DE number 5152227 (Why is no real title available?)
• scientific article; zbMATH DE number 3907496 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
• Continuously controlled options: derivatives with added flexibility
• Mean stochastic comparison of diffusions
• Optimal Strategies of Passport Options
• PASSPORT OPTIONS
• Passport options with stochastic volatility
• Stochastic differential equations. An introduction with applications.
• The mean comparison theorem cannot be extended to the Poisson case

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)