Skip to Main content Skip to Navigation
Journal articles

Positive dependence orderings and stopping times

Marco Scarsini 1, 2 Bruno Bassan
1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Dipartimento di Scienze Economiche e Aziendali
Abstract : We study the positive dependence of pairs of stochastic processes and examine its relation with the properties of certain stopping times. Some special cases, such as dependent random walks, Gaussian processes and exchangeable sequences of elliptically contoured random variables, are taken into account.
Keywords : exchangeable sequences bivariate Gaussian processes bivariate random walks Stochastic orderings
Document type :
Journal articles
Complete list of metadata
https://hal-hec.archives-ouvertes.fr/hal-00541820
Contributor : Antoine Haldemann <>
Submitted on : Wednesday, December 1, 2010 - 11:59:28 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

Links full text

istex

Identifiers

Collections

HEC | PARISTECH | CNRS

Citation

Marco Scarsini, Bruno Bassan. Positive dependence orderings and stopping times. Annals of the Institute of Statistical Mathematics, Springer Verlag, 1994, Vol. 46, N°2, pp. 333-342. ⟨10.1007/BF01720589⟩. ⟨hal-00541820⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

267