Couplings for processes with independent increments

DOI10.1016/j.spl.2018.11.016zbMath1407.60066OpenAlexW2901571116MaRDI QIDQ1726862

David Criens

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.11.016

zbMATH Keywords

stochastic ordercouplingindependent increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44)

Related Items (2)

Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ The martingale comparison method for Markov processes

Cites Work

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• Convex ordering criteria for Lévy processes
• Comparison of semimartingales and Lévy processes
• Stochastic inequalities on partially ordered spaces
• A note on the monotone stochastic order for processes with independent increments
• Comparison of time-inhomogeneous Markov processes
• Probability

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