Couplings for processes with independent increments

Autor:	David Criens
Rok vydání:	2019
Předmět:	Statistics and Probability Coupling 010104 statistics & probability Mathematics::Probability Strassen algorithm 010102 general mathematics Statistical physics 0101 mathematics Statistics Probability and Uncertainty 01 natural sciences Measure (mathematics) Stochastic ordering Mathematics
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
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f162ffd4527f8fefce8b87d26b29e82d https://doi.org/10.1016/j.spl.2018.11.016 Zobrazit plný text záznamu Full Text from ScienceDirect