A note on convex ordering for stable stochastic integrals

DOI10.1080/17442508.2014.989528zbMath1337.60109OpenAlexW2113893830MaRDI QIDQ2803999

Solym Mawaki Manou-Abi, Aldéric Joulin

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.989528

zbMATH Keywords

martingalesstable processesstochastic integralsconvex orderingforward-backward stochastic calculus

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stable stochastic processes (60G52)

Related Items (1)

On asymptotic behaviors and convergence rates related to weak limiting distributions of geometric random sums

Cites Work

• Convex concentration inequalities and forward-backward stochastic calculus
• Stochastic orders
• Comparison of option prices in semimartingale models
• On maximal inequalities for stable stochastic integrals
• Comparison of semimartingales and Lévy processes
• Convex ordering for random vectors using predictable representation
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Comparison of Markov processes via infinitesimal generators
• On the distance between convex-ordered random variables, with applications
• BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS
• On the Distribution of the Number of Successes in Independent Trials
• Robustness of the Black and Scholes Formula
• On a Comparison Result for Markov Processes

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