An application of multivariate total positivity to peacocks

DOI10.1051/PS/2013049MaRDI QIDQ5174368zbMATH OpenOpenAlexFDO

Authors Antoine-Marie Bogso

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.05123, http://www.esaim-ps.org/10.1051/ps/2013049/pdf

zbMATH Keywords

convex orderMarkov propertymultivariate total positivitypeacocksstrong conditional monotonicitytotal positivity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We use multivariate total positivity theory to exhibit new families of peacocks. As the authors of cite{HPRY}, our guiding example is the result of Carr-Ewald-Xiao cite{CEX}. We shall introduce the notion of strong conditional monotonicity. This concept is strictly more restrictive than the conditional monotonicity as defined in cite{HPRY} (see also cite{Be}, cite{BPR1} and cite{ShS1}). There are many random vectors which are strongly conditionally monotone (SCM). Indeed, we shall prove that multivariate totally positive of order 2 (MTP${}_2$) random vectors are SCM. As a consequence, stochastic processes with MTP${}_2$ finite-dimensional marginals are SCM. This family includes processes with independent and log-concave increments, and one-dimensional diffusions which have absolutely continuous transition kernels.

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