Convex orderings for stochastic processes

Marco Scarsini; Bruno Bassan

Journal articles

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

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.

Keywords : stochastic orders convex orders orders for random processes

Document type :

Journal articles

Domain :

Humanities and Social Sciences / Economics and Finance / Economy and decision science

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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

Convex orderings for stochastic processes

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Convex orderings for stochastic processes

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