Comparison of semimartingales and Lévy processes
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Publication:879255
DOI10.1214/009117906000000386zbMath1178.60035arXivmath/0703793OpenAlexW3105967212MaRDI QIDQ879255
Jan Bergenthum, Ludger Rüschendorf
Publication date: 8 May 2007
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703793
Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)
Related Items (21)
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS ⋮ Stochastic comparison for Lévy-type processes ⋮ Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ A note on the monotone stochastic order for processes with independent increments ⋮ Monotone convex order for the McKean-Vlasov processes ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Couplings for processes with independent increments ⋮ Convex ordering criteria for Lévy processes ⋮ A Necessary condition on comparison theorem for one-dimensional stochastic differential equation ⋮ Convex ordering for random vectors using predictable representation ⋮ Dependence properties and comparison results for Lévy processes ⋮ Supermodular ordering of Poisson arrays ⋮ Stochastic ordering by \(g\)-expectations ⋮ A note on convex ordering for stable stochastic integrals ⋮ On a Comparison Result for Markov Processes ⋮ Affine processes under parameter uncertainty ⋮ Stochastic comparison and preservation of positive correlations for Lévy-type processes ⋮ Skewness premium with Lévy processes ⋮ \( G\)-expectation approach to stochastic ordering ⋮ Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
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