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hal-00224543,version1-30Jan2008 Convex ordering for random vectors using
 

Summary: hal-00224543,version1-30Jan2008
Convex ordering for random vectors using
predictable representation
Marc Arnaudon a)
Jean-Christophe Breton b)
Nicolas Privault c)
January 30, 2008
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 the results proved in [4] 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.
Keywords: Convex ordering, forward-backward stochastic calculus, deviation inequalities,
Brownian motion, jump processes.
2000 MR Subject Classification : 60E15; 60H05, 60G44, 60G55.
1 Introduction
Given two finite measures µ and on Rd

  

Source: Arnaudon, Marc - Département de mathématiques, Université de Poitiers
Ecole Polytechnique, Centre de mathématiques

 

Collections: Mathematics