The martingale comparison method for Markov processes

DOI10.1017/jpr.2020.87zbMath1476.60041OpenAlexW3134426083MaRDI QIDQ4964787

Ludger Rüschendorf, Benedikt Köpfer

Publication date: 3 March 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2020.87

zbMATH Keywords

evolution systemsmartingale comparison methodordering of Markov processes

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25)

Related Items (1)

Markov projection of semimartingales -- application to comparison results

Cites Work

• Couplings for processes with independent increments
• Comparison of interacting diffusions and an application to their ergodic theory
• Comparison of time-inhomogeneous Markov processes
• Comparison of Markov processes via infinitesimal generators
• On Comparison Theorem and its Applications to Finance
• Stochastic Orderings for Markov Processes on Partially Ordered Spaces
• Semimartingales and Markov processes
• Feller evolution systems: Generators and approximation
• On a Comparison Result for Markov Processes
• Dependence ordering for Markov processes on partially ordered spaces
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