Weak decreasing stochastic order

Fuente: arXiv
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Main Authors: Bogso, Antoine-Marie, Soh, Patrice Takam
Format: Preprint
Published: 2016
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author Bogso, Antoine-Marie
Soh, Patrice Takam
author_facet Bogso, Antoine-Marie
Soh, Patrice Takam
contents We introduce the notion of weak decreasing stochastic (WDS) ordering for real-valued processes with negative means, which, to our knowledge, has not been studied before. Thanks to Madan-Yor's argument, it follows that the WDS ordering is a necessary and sufficient condition for a process with negative mean to be embeddable in a standard Brownian motion by the Cox and Hobson extension of the Azéma-Yor algorithm. Since the decreasing stochastic order is stronger than the WDS order, then, for every stochastically non-decreasing family of probability measures with densities, the Cox-Hobson stopping times provide an associated Markov process. The quantile process associated to a stochastically non-decreasing process is not necessarily Markovian.
format Preprint
id arxiv_https___arxiv_org_abs_1610_02190
institution arXiv
publishDate 2016
record_format arxiv
spellingShingle Weak decreasing stochastic order
Bogso, Antoine-Marie
Soh, Patrice Takam
Probability
60E15, 60G44, 60J25
We introduce the notion of weak decreasing stochastic (WDS) ordering for real-valued processes with negative means, which, to our knowledge, has not been studied before. Thanks to Madan-Yor's argument, it follows that the WDS ordering is a necessary and sufficient condition for a process with negative mean to be embeddable in a standard Brownian motion by the Cox and Hobson extension of the Azéma-Yor algorithm. Since the decreasing stochastic order is stronger than the WDS order, then, for every stochastically non-decreasing family of probability measures with densities, the Cox-Hobson stopping times provide an associated Markov process. The quantile process associated to a stochastically non-decreasing process is not necessarily Markovian.
title Weak decreasing stochastic order
topic Probability
60E15, 60G44, 60J25
url https://arxiv.org/abs/1610.02190