Convex ordering for random vectors using predictable representation

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dc.creatorArnaudon, Marc
dc.creatorBreton, Jean-Christophe
dc.creatorPrivault, Nicolas
dc.date2008-01-30
dc.date.accessioned2026-07-07T08:57:16Z
dc.date.available2026-07-07T08:57:16Z
dc.descriptionWe prove convex ordering results for random vectors admitting a predictable representation in terms of a Brownian motion and a non-necessarily independent jump component. Our method uses forward-backward stochastic calculus and extends previous results in the one-dimensional case. We also study a geometric interpretation of convex ordering for discrete measures in connection with the conditions set on the jump heights and intensities of the considered processes.
dc.identifierhttps://arxiv.org/abs/0801.4621
dc.identifierhttp://arxiv.org/abs/0801.4621
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/146901
dc.subjectProbability
dc.subject60E15; 60H05, 60G44, 60G55
dc.titleConvex ordering for random vectors using predictable representation
dc.typetext

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