Stochastic domination and Markovian couplings

Citation
Fj. Lopez et al., Stochastic domination and Markovian couplings, ADV APPL P, 32(4), 2000, pp. 1064-1076
Citations number
16
Categorie Soggetti
Mathematics
Journal title
ADVANCES IN APPLIED PROBABILITY
ISSN journal
00018678 → ACNP
Volume
32
Issue
4
Year of publication
2000
Pages
1064 - 1076
Database
ISI
SICI code
0001-8678(200012)32:4<1064:SDAMC>2.0.ZU;2-W
Abstract
For continuous-time Markov chains with semigroups P, P' taking values in a partially ordered set, such that P less than or equal to (st) P', we show t he existence of an order-preserving Markovian coupling and give a way to co nstruct it. From our proof, we also obtain the conditions of Brandt and Las t for stochastic domination in terms of the associated intensity matrices. Our result is applied to get necessary and sufficient conditions for the ex istence of Markovian couplings between two Jackson networks.