Mean stochastic comparison of diffusions

DOI10.1007/BF00532643zbMath0537.60050MaRDI QIDQ3322949

Bruce Hajek

Publication date: 1985

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

optimal controlstochastic controlstochastic differential equationsLyapunov functionscomparison theoremslocal timestochastic dominationtwo parameter processes

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (26)

Comparison theorems for neutral stochastic functional differential equations ⋮ A comparison principle for certain convex functionals of a diffusion process without drift ⋮ A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation ⋮ Polynomial diffusions and applications in finance ⋮ Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ On stochastic ordering for diffusion with jumps and applications ⋮ Monotone convex order for the McKean-Vlasov processes ⋮ Functional convex order for the scaled McKean-Vlasov processes ⋮ Comparison results for stochastic volatility models via coupling ⋮ Fake exponential Brownian motion ⋮ Volatility time and properties of option prices ⋮ On a class of diverse market models ⋮ Generalisation of Hajek's stochastic comparison results to stochastic sums ⋮ Comparison theorem for stochastic functional differential equations and applications ⋮ The mean comparison theorem cannot be extended to the Poisson case ⋮ Comparison of solutions of stochastic equations and applications ⋮ Pricing European passport option with radial basis function ⋮ Dynamics of observables in rank-based models and performance of functionally generated portfolios ⋮ Options on a traded account: symmetric treatment of the underlying assets ⋮ A maximum a posteriori estimator for trajectories of diffusion processes ⋮ A maximum a posteriori estimator for trajectories of diffusion processes ⋮ CLA’s, PLA’s and a new method for pricing general passport options ⋮ Mean field systems on networks, with singular interaction through hitting times ⋮ LINEAR STOCHASTIC DIVIDEND MODEL ⋮ Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach ⋮ A note on applications of stochastic ordering to control problems in insurance and finance

Cites Work

• A comparison theorem for solutions of stochastic differential equations and its applications
• Liapunov criteria for weak stochastic stability
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