A note on convex ordering for stable stochastic integrals

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-04-10 DOI:10.1080/17442508.2014.989528

A. Joulin, Solym Mawaki Manou-Abi

引用次数: 0

Abstract

We establish a convex ordering between stochastic integrals driven by strictly α-stable processes with index α ∈ (1,2). Our approach is based on the forward–backward stochastic calculus for martingales together with a suitable decomposition of stable stochastic integrals.

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稳定随机积分的凸排序问题

建立了指标α∈(1,2)的严格α-稳定过程驱动的随机积分之间的凸序。我们的方法是基于正反向鞅的随机微积分以及稳定随机积分的适当分解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.