{"title":"稳定随机积分的凸排序问题","authors":"A. Joulin, Solym Mawaki Manou-Abi","doi":"10.1080/17442508.2014.989528","DOIUrl":null,"url":null,"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.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A note on convex ordering for stable stochastic integrals\",\"authors\":\"A. Joulin, Solym Mawaki Manou-Abi\",\"doi\":\"10.1080/17442508.2014.989528\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2015-04-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/17442508.2014.989528\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/17442508.2014.989528","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A note on convex ordering for stable stochastic integrals
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.