English

Mean residual life processes and associated submartingales

Probability 2025-10-14 v4

Abstract

We use Madan-Yor's argument to construct associated submartingales to a class of two-parameter processes that are ordered by the increasing convex dominance. This class includes processes which have MTP2_2 integrated survival functions. We prove that the integrated survival function of an integrable two-parameter process is MTP2_2 if and only if it is TP2_2 in each pair of arguments when the remaining argument is fixed. This result can not be deduced from known results since there are several two-parameter processes whose integrated survival functions do not have interval support. The MTP2_2 property of certain MRL processes is useful to exhibit numerous other processes having the same property.

Keywords

Cite

@article{arxiv.1807.05932,
  title  = {Mean residual life processes and associated submartingales},
  author = {Antoine-Marie Bogso},
  journal= {arXiv preprint arXiv:1807.05932},
  year   = {2025}
}

Comments

23 pages, 1 figure