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Stochastic comparisons of Itô processes

Abstract : Stochastic comparisons of Markov processes have mostly been in terms of transition functions or infinitesimal generators. For Itô processes, that is, solutions of stochastic differential equations, it is possible to obtain very intuitive comparisons in terms of three deterministic functions that govern the drift, diffusion, and jumps. Some further results on semimartingale Hunt processes show the detrimental effect of time changes upon such comparisons.
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Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Wednesday, December 1, 2010 - 3:29:14 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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Marco Scarsini, Bruno Bassan, Erhan Cinlare. Stochastic comparisons of Itô processes. Stochastic Processes and their Applications, Elsevier, 1993, Vol. 45, N°1, pp. 1-11. ⟨10.1016/0304-4149(93)90056-A⟩. ⟨hal-00541960⟩



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