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Convex orderings for stochastic processes

Abstract : We consider partial orderings for stochastic processes induced by expectations of convex or increasing convex (concave or increasing concave) functionals. We prove that these orderings are implied by the analogous finite dimensional orderings.
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https://hal-hec.archives-ouvertes.fr/hal-00542007
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Wednesday, December 1, 2010 - 4:20:18 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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  • HAL Id : hal-00542007, version 1

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Marco Scarsini, Bruno Bassan. Convex orderings for stochastic processes. Commentationes Mathematicae Universitatis Carolinae, 1991, Vol. 32, N°1, pp. 115-118. ⟨hal-00542007⟩

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