Comparison of path-dependent functionals of semimartingales
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Publication:6324249
arXiv1908.10076MaRDI QIDQ6324249FDOQ6324249
Authors: Benedikt Köpfer, Ludger Rüschendorf 
Publication date: 27 August 2019
Abstract: Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of the functional It^o calculus. A main tool is an extension of the Kolmogorov backwards equation to path-dependent functions. The paper also derives criteria for the regularity conditions of the comparison theorems and discusses applications as to the comparison of Asian options for semimartingale models.
Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15)
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