Convex ordering for random vectors using predictable representation
Probability
2008-01-31 v1
Abstract
We prove convex ordering results for random vectors admitting a predictable representation in terms of a Brownian motion and a non-necessarily independent jump component. Our method uses forward-backward stochastic calculus and extends previous results in the one-dimensional case. We also study a geometric interpretation of convex ordering for discrete measures in connection with the conditions set on the jump heights and intensities of the considered processes.
Cite
@article{arxiv.0801.4621,
title = {Convex ordering for random vectors using predictable representation},
author = {Marc Arnaudon and Jean-Christophe Breton and Nicolas Privault},
journal= {arXiv preprint arXiv:0801.4621},
year = {2008}
}