Couplings for processes with independent increments
Autor: | David Criens |
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Rok vydání: | 2019 |
Předmět: | |
Zdroj: | Statistics & Probability Letters. 146:161-167 |
ISSN: | 0167-7152 |
Popis: | Strassen’s theorem states that the usual stochastic order of two processes is equivalent to the existence of a pathwise ordered coupling. In the case of processes with independent increments, we construct explicit pathwise ordered couplings under suitable conditions on the characteristics of the processes. To formalize the couplings we use independent decompositions, a redistribution mechanism for jumps and Ito’s map, which relates general Levy measures to a reference Levy measure. |
Databáze: | OpenAIRE |
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