Translator Disclaimer
December 2016 Comparison of time-inhomogeneous Markov processes
Rudger Rüschendorf, Alexander Schnurr, Victor Wolf
Author Affiliations +
Adv. in Appl. Probab. 48(4): 1015-1044 (December 2016).

Abstract

Comparison results are given for time-inhomogeneous Markov processes with respect to function classes with induced stochastic orderings. The main result states the comparison of two processes, provided that the comparability of their infinitesimal generators as well as an invariance property of one process is assumed. The corresponding proof is based on a representation result for the solutions of inhomogeneous evolution problems in Banach spaces, which extends previously known results from the literature. Based on this representation, an ordering result for Markov processes induced by bounded and unbounded function classes is established. We give various applications to time-inhomogeneous diffusions, to processes with independent increments, and to Lévy-driven diffusion processes.

Citation

Download Citation

Rudger Rüschendorf. Alexander Schnurr. Victor Wolf. "Comparison of time-inhomogeneous Markov processes." Adv. in Appl. Probab. 48 (4) 1015 - 1044, December 2016.

Information

Published: December 2016
First available in Project Euclid: 24 December 2016

zbMATH: 1384.60063
MathSciNet: MR3595764

Subjects:
Primary: 60E15
Secondary: 60J35, 60J75

Rights: Copyright © 2016 Applied Probability Trust

JOURNAL ARTICLE
30 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.48 • No. 4 • December 2016
Back to Top