Stochastic comparisons of Itô processes

DOI10.1016/0304-4149(93)90056-AzbMath0766.60066OpenAlexW1991874872MaRDI QIDQ1208952

Erhan Çinlar, Bruno Bassan, Marco Scarsini

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90056-a

zbMATH Keywords

stochastic comparisonsItô processeslocal characteristicsrandom time changessemi-martingale Hunt processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Transition functions, generators and resolvents (60J35)

Related Items

``Itō's lemma and the Bellman equation for Poisson processes: An applied view, Comparison of solutions of stochastic equations and applications, Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility

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