Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 87, 2015 - Issue 4
70
Views
0
CrossRef citations to date
0
Altmetric
Articles

A note on convex ordering for stable stochastic integrals

&
Pages 592-603 | Received 24 Apr 2014, Accepted 15 Nov 2014, Published online: 10 Apr 2015

References

  • M. Arnaudon, J.C. Breton, and N. Privault, Convex ordering for random vectors using predictable representation, Potential Anal. 29 (2008), pp. 327–349.
  • J. Bergenthum, and L. Rüschendorf, Comparison of option prices in semimartingale models, Finance Stoch. 10 (2006), pp. 222–249.
  • J. Bergenthum, and L. Rüschendorf, Comparison of semimartingales and Lévy processes, Ann. Probab. 35 (2007), pp. 228–254.
  • M.V. Boutsikas, and E. Vaggelatou, On the distance between convex-ordered random variables, with applications, Adv. Appl. Probab. 34 (2002), pp. 349–374.
  • J.C. Breton, B. Laquerrière, and N. Privault, Convex comparison inequalities for non-Markovian stochastics integrals, Stochastics 85 (2013), pp. 789–806.
  • J.C. Breton, and N. Privault, Convex comparison inequalities for exponential jump-diffusion processes, Commun. Stoch. Anal. 1 (2007), pp. 263–277.
  • J.C. Breton, and N. Privault, Bounds on option prices in point process diffusion models, Int. J. Theor. Appl. Finance 11 (2008), pp. 597–610.
  • N. El Karoui, M. Jeanblanc-Picqué, and S.E. Shreve, Robustness of the Black and Scholes formula, Math. Finance 8 (1998), pp. 93–126.
  • W. Hoeffding, On the distribution of the number of successes in independent trials, Anal. Math. Stat. 27 (1956), pp. 713–721.
  • W. Hoeffding, Probability Inequalities for sums of bounded random variables, J. Amer. Stat. Assoc. 58 (1963), pp. 13–30.
  • A. Joulin, On maximal inequalities for stable stochastic integrals, Potential Anal. 26 (2007), pp. 57–78.
  • O. Kallenberg, Some time change representations of stable integrals, via predictable transformations of local martingales, Stoch. Process. Appl. 40 (1992), pp. 199–223.
  • T. Klein, Y. Ma, and N. Privault, Convex concentration inequalities and forward-backward stochastic calculus, Electron. J. Probab. 11 (2006), pp. 486–512.
  • B. Laquerrière, and N. Privault, Deviation inequalities for exponential jump-diffusion processes, Theory Stoch. Process. 16 (2010), pp. 67–72.
  • A. Müller, and D. Stoyan, Comparison methods for stochastic models and risks, Wiley Series in Probability and Statistics, Wiley, Chichester, 2002.
  • L. Rüschendorf, On a comparison result for Markov processes, J. Appl. Probab. 45 (2008), pp. 279–286.
  • L. Rüschendorf, and V. Wolf, Comparison of Markov processes via infinitesimal generators, Stat. Decis. 28 (2011), pp. 151–168.
  • M. Shaked, and J.G. Shanthikumar, Stochastic Orders, Springer Series in Statistics, Springer, New York, 2007.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.