کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5129907 | 1489853 | 2017 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Weak decreasing stochastic order
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We introduce the notion of weak decreasing stochastic (WDS) ordering for real-valued processes with negative means, which, to our knowledge, has not been studied before. Thanks to Madan-Yor's argument, it follows that the WDS ordering is a necessary and sufficient condition for a family of integrable probability measures with negative mean to be embeddable in a standard Brownian motion by the Cox and Hobson extension of the Azéma-Yor algorithm. The resulting process is a supermartingale and if, in addition, the measures have densities, this supermartingale is Markovian. Then the Cox-Hobson algorithm provides a special solution of Kellerer's theorem relying on the stronger hypothesis of WDS order.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 126, July 2017, Pages 49-58
Journal: Statistics & Probability Letters - Volume 126, July 2017, Pages 49-58
نویسندگان
Antoine-Marie Bogso, Patrice Takam Soh,