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

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: Stochastic orderings; bivariate random walks; bivariate Gaussian processes; exchangeable sequences

Domains: Humanities and Social Sciences; Economics and Finance; Economy and decision science

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