Smooth generators of integral stochastic orders

Citation
Denuit, Michel et Müller, Alfred, Smooth generators of integral stochastic orders, Annals of applied probability , 12(4), 2002, pp. 1174-1184
ISSN journal
10505164
Volume
12
Issue
4
Year of publication
2002
Pages
1174 - 1184
Database
ACNP
SICI code
Abstract
The purpose of this paper is to show that many integral stochastic orders have a generator consisting of infinitely differentiable functions. This especially holds for all stochastic orders with characterizations via difference operators. The usefulness of this result is demonstrated in two applications relating to stochastic ordering of multivariate normal distributions and ordering of random vectors in a random environment.