Article Dans Une Revue Potential Analysis Année : 2008

Convex ordering for random vectors using predictable representation

Résumé

We prove convex ordering results for random vectors admitting a predictable representation in terms of a Brownian motion and a non-necessarily independent jump component. Our method uses forward-backward stochastic calculus and extends previous results in the one-dimensional case. We also study a geometric interpretation of convex ordering for discrete measures in connection with the conditions set on the jump heights and intensities of the considered processes.

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hal-00224543 , version 1 (30-01-2008)

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Marc Arnaudon, Jean-Christophe Breton, Nicolas Privault. Convex ordering for random vectors using predictable representation. Potential Analysis, 2008, 29, pp.327-349. ⟨10.1007/s11118-008-9100-x⟩. ⟨hal-00224543⟩
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