Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154543 | Statistics & Probability Letters | 2015 | 8 Pages |
Abstract
We derive necessary and sufficient conditions for the supermodular ordering of certain triangular arrays of Poisson random variables, based on the componentwise ordering of their covariance matrices. Applications are proposed for markets driven by jump–diffusion processes, using sums of Gaussian and Poisson random vectors. Our results rely on a new triangular structure for the representation of Poisson random vectors using their Lévy–Khintchine representation.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Bünyamin Kızıldemir, Nicolas Privault,