A generator approach to stochastic monotonicity and propagation of order

arXiv1804.10222MaRDI QIDQ6300867FDOQ6300867

Authors: Richard Clemens Kraaij, Moritz Schauer 

Publication date: 26 April 2018

Abstract: We study stochastic monotonicity and propagation of order for Markov processes with respect to stochastic integral orders characterized by cones of functions satisfying $Phifgeq0$ for some linear operator $Phi$. We introduce a new functional analytic technique based on the generator $A$ of a Markov process and its resolvent. We show that the existence of an operator $B$ with positive resolvent such that $PhiA-BPhi$ is a positive operator for a large enough class of functions implies stochastic monotonicity. This establishes a technique for proving stochastic monotonicity and propagation of order that can be applied in a wide range of settings including various orders for diffusion processes with or without boundary conditions and orders for discrete interacting particle systems.

Mathematics Subject Classification ID

Partial orders, general (06A06) Transition functions, generators and resolvents (60J35)

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