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Journal Articles Annals of the Institute of Statistical Mathematics Year : 1994

Positive dependence orderings and stopping times

Abstract

We study the positive dependence of pairs of stochastic processes and examine its relation with the properties of certain stopping times. Some special cases, such as dependent random walks, Gaussian processes and exchangeable sequences of elliptically contoured random variables, are taken into account.

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hal-00541820 , version 1 (01-12-2010)

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Marco Scarsini, Bruno Bassan. Positive dependence orderings and stopping times. Annals of the Institute of Statistical Mathematics, 1994, Vol. 46, N°2, pp. 333-342. ⟨10.1007/BF01720589⟩. ⟨hal-00541820⟩

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