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Comparison of Markov processes via infinitesimal generators
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Ludger Rüschendorf
Published/Copyright:
May 31, 2011
Abstract
We derive comparison results for Markov processes with respect to stochastic orderings induced by function classes. Our main result states that stochastic monotonicity of one process and comparability of the infinitesimal generators implies ordering of the processes. Unlike in previous work no boundedness assumptions on the function classes are needed anymore. We also present an integral version of the comparison result which does not need the local comparability assumption of the generators. The method of proof is also used to derive comparison results for time-discrete Markov processes.
Published Online: 2011-05-31
Published in Print: 2011-05
© by Oldenbourg Wissenschaftsverlag, Freiburg, Germany
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Articles in the same Issue
- Expansions for the risk of Stein type estimates for non-normal data
- Mean-risk tests of stochastic dominance
- Non-parametric drift estimation for diffusions from noisy data
- Comparison of Markov processes via infinitesimal generators
- Method of moment estimation in time-changed Lévy models
Keywords for this article
stochastic ordering;
stochasticmonotonicity;
Markov processes;
infinitesimal generators
Articles in the same Issue
- Expansions for the risk of Stein type estimates for non-normal data
- Mean-risk tests of stochastic dominance
- Non-parametric drift estimation for diffusions from noisy data
- Comparison of Markov processes via infinitesimal generators
- Method of moment estimation in time-changed Lévy models
