Stochastic relations of random variables and processes

DOI10.1007/S10959-009-0216-8zbMATH Open1197.60018arXiv0806.3562OpenAlexW2035430565WikidataQ110086276 ScholiaQ110086276MaRDI QIDQ975329FDOQ975329

Authors: Lasse Leskelä 

Publication date: 9 June 2010

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: This paper generalizes the notion of stochastic order to a relation between probability measures over arbitrary measurable spaces. This generalization is motivated by the observation that for the stochastic ordering of two stationary Markov processes, it suffices that the generators of the processes preserve some, not necessarily reflexive or transitive, subrelation of the order relation. The main contributions of the paper are: a functional characterization of stochastic relations, necessary and sufficient conditions for the preservation of stochastic relations, and an algorithm for finding subrelations preserved by probability kernels. The theory is illustrated with applications to hidden Markov processes, population processes, and queueing systems.

Full work available at URL: https://arxiv.org/abs/0806.3562

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zbMATH Keywords

Markov processcouplingrandom dynamical systemstochastic orderstochastic relationsubrelationprobability kernel

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Markov processes (60J99) Stochastic processes (60G99)

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Cited In (9)

• Stochastic ordering of conditional steady-state probabilities
• Interacting branching processes and linear file-sharing networks
• Stability of a spatial polling system with greedy myopic service
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• Existence of a stochastic function consistent with the conditional likelihood relation
• A criterion for the stochasticity of matrices with specified order relations
• A preorder relation for Markov reward processes
• Extension of the bivariate characterization for stochastic orders
• Bivariate characterization of some stochastic order relations

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