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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
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Journal articles
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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

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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⟩

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