Stochastic comparison and preservation of positive correlations for Lévy-type processes

Authors
Wang, Jie Ming
Citation
Wang, Jie Ming, Stochastic comparison and preservation of positive correlations for Lévy-type processes, Acta mathematica Sinica. English series (Print) , 25(5), 2009, pp. 741-758
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
25
Issue
5
Year of publication
2009
Pages
741 - 758
Database
ACNP
SICI code
Abstract
The stochastic comparison and preservation of positive correlations for Lévy-type processes on .d are studied under the condition that Lévy measure . satisfies .{0<|z|.1}|z||.(x, dz) . .(x, d(.z))| < ., x . .d, while the sufficient conditions and necessary ones for them are obtained. In some cases the conditions for stochastic comparison are not only sufficient but also necessary.