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Journal Articles Commentationes Mathematicae Universitatis Carolinae Year : 1991

Convex orderings for stochastic processes

Abstract

We consider partial orderings for stochastic processes induced by expectations of convex or increasing convex (concave or increasing concave) functionals. We prove that these orderings are implied by the analogous finite dimensional orderings.
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Dates and versions

hal-00542007 , version 1 (01-12-2010)

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  • HAL Id : hal-00542007 , version 1

Cite

Marco Scarsini, Bruno Bassan. Convex orderings for stochastic processes. Commentationes Mathematicae Universitatis Carolinae, 1991, Vol. 32, N°1, pp. 115-118. ⟨hal-00542007⟩

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