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.

Mots clés: stochastic orders; convex orders; orders for random processes

Domaines: Economie et sciences de la décision

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