Comparison of semimartingales and Lévy processes

DOI10.1214/009117906000000386zbMATH Open1178.60035arXivmath/0703793OpenAlexW3105967212MaRDI QIDQ879255FDOQ879255

Authors: Jan Bergenthum, Ludger Rüschendorf 

Publication date: 8 May 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper, we derive comparison results for terminal values of $d$-dimensional special semimartingales and also for finite-dimensional distributions of multivariate L'{e}vy processes. The comparison is with respect to nondecreasing, (increasing) convex, (increasing) directionally convex and (increasing) supermodular functions. We use three different approaches. In the first approach, we give sufficient conditions on the local predictable characteristics that imply ordering of terminal values of semimartingales. This generalizes some recent convex comparison results of exponential models in [Math. Finance 8 (1998) 93--126, Finance Stoch. 4 (2000) 209--222, Proc. Steklov Inst. Math. 237 (2002) 73--113, Finance Stoch. 10 (2006) 222--249]. In the second part, we give comparison results for finite-dimensional distributions of L'{e}vy processes with infinite L'{e}vy measure. In the first step, we derive a comparison result for Markov processes based on a monotone separating transition kernel. By a coupling argument, we get an application to the comparison of compound Poisson processes. These comparisons are then extended by an approximation argument to the ordering of L'{e}vy processes with infinite L'{e}vy measure. The third approach is based on mixing representations which are known for several relevant distribution classes. We discuss this approach in detail for the comparison of generalized hyperbolic distributions and for normal inverse Gaussian processes.

Full work available at URL: https://arxiv.org/abs/math/0703793

Recommendations

• scientific article; zbMATH DE number 2227483
• Stochastic comparison for Lévy-type processes
• Summable processes versus semimartingales
• scientific article; zbMATH DE number 3982185
• Equivalent martingale measures for Lévy processes
• scientific article; zbMATH DE number 16689
• Semimartingale functions of a class of diffusion processes
• Dependence properties and comparison results for Lévy processes

zbMATH Keywords

jump diffusion processconvex orderingpropagation of convexityLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Cites Work

• Title not available (Why is that?)
• A characterization of random variables with minimum \(L^ 2\)-distance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Comparison methods for stochastic models and risks
• The Euler scheme for Lévy driven stochastic differential equations
• Inequalities: theory of majorization and its applications
• A comparison theorem for solutions of stochastic differential equations and its applications
• On a comparison theorem for solutions of stochastic differential equations and its applications
• The approximate Euler method for Lévy driven stochastic differential equations
• Robustness of the Black and Scholes Formula
• Volatility misspecification, option pricing and superreplication via coupling
• Incompleteness of markets driven by a mixed diffusion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Orderings for Markov Processes on Partially Ordered Spaces
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Coupling and option price comparisons in a jump-diffusion model
• Comparison of option prices in semimartingale models
• Stochastic ordering and dependence in applied probability
• A Comparison Theorem for Stochastic Equations with Integrals with Respect to Martingales and Random Measures
• A new comparison theorem for solutions of stochastic differential equations
• A note on a comparison theorem for equations with different diffusions

Cited In (26)

• Stochastic ordering by \(g\)-expectations
• A note on convex ordering for stable stochastic integrals
• Stochastic comparisons of Itô processes
• Affine processes under parameter uncertainty
• Convex ordering for random vectors using predictable representation
• Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
• A note on the monotone stochastic order for processes with independent increments
• On a Comparison Result for Markov Processes
• Dependence properties and comparison results for Lévy processes
• Stochastic comparison for Lévy-type processes
• Title not available (Why is that?)
• A necessary condition on comparison theorem for a one-dimensional stochastic differential equation
• Skewness premium with Lévy processes
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Monotone convex order for the McKean-Vlasov processes
• Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
• Supermodular ordering of Poisson arrays
• Comparison of option prices in semimartingale models
• Couplings for processes with independent increments
• Markov projection of semimartingales -- application to comparison results
• Convex ordering for stochastic Volterra equations and their Euler schemes
• Convex ordering criteria for Lévy processes
• Robustness of Delta Hedging in a Jump-Diffusion Model
• \( G\)-expectation approach to stochastic ordering
• Stochastic comparison and preservation of positive correlations for Lévy-type processes
• Bounds on option prices in point process diffusion models

This page was built for publication: Comparison of semimartingales and Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q879255)