The purpose of this paper is to show that many integral stochastic orders have a generator consisting of infinitely differentiable functions. This especially holds for all stochastic orders with characterizations via difference operators. The usefulness of this result is demonstrated in two applications relating to stochastic ordering of multivariate normal distributions and ordering of random vectors in a random environment.
Publié le : 2002-11-14
Classification:
Integral stochastic orders,
infinitely differentiable generator,
difference operator,
multivariate normal distribution,
random environment,
60E15,
62H05
@article{1037125858,
author = {Denuit, Michel and M\"uller, Alfred},
title = {Smooth generators of integral stochastic orders},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 1174-1184},
language = {en},
url = {http://dml.mathdoc.fr/item/1037125858}
}
Denuit, Michel; Müller, Alfred. Smooth generators of integral stochastic orders. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 1174-1184. http://gdmltest.u-ga.fr/item/1037125858/