Stochastic comparison and preservation of positive correlations for L,vy-type processes

被引:5
|
作者
Wang, Jie Ming [1 ,2 ,3 ]
机构
[1] Beijing Inst Technol, Dept Math, Beijing 100081, Peoples R China
[2] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China
[3] Beijing Normal Univ, Lab Math & Complex Syst, Beijing 100875, Peoples R China
基金
中国国家自然科学基金;
关键词
stochastic comparison; preservation of positive correlations; Levy-type processes; DIFFUSION-PROCESSES; MONOTONICITY; INEQUALITIES;
D O I
10.1007/s10114-009-7670-1
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
The stochastic comparison and preservation of positive correlations for L,vy-type processes on R (d) are studied under the condition that L,vy measure nu satisfies a <<({0 <|z|a parts per thousand currency sign1})|z||nu(x, dz) - nu(x, d(-z))| < az, x a R (d) , while the sufficient conditions and necessary ones for them are obtained. In some cases the conditions for stochastic comparison are not only sufficient but also necessary.
引用
收藏
页码:741 / 758
页数:18
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