Convex orderings for stochastic processes

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 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.

Keywords: stochastic orders; convex orders; orders for random processes

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

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