Stochastic Partial Ordering
Kamae, T. ; Krengel, U.
Ann. Probab., Tome 6 (1978) no. 6, p. 1044-1049 / Harvested from Project Euclid
A probability measure $P$ on a partially ordered Polish space $E$ is called stochastically smaller than $Q$ (notation: $P \leqslant Q$) if $\int f dP \leqslant \int f dQ$ holds for all bounded increasing measurable $f$. We investigate the question when for a stochastically increasing family $\{P_t, t \in \mathbb{R}\}$ there exists an increasing process $\{X_t, t \in \mathbb{R}\}$ with 1-dimensional marginal distributions $P_t$. A sufficient condition, satisfied, e.g., for $E = \mathbb{R}^\mathbf{N}$, for compact $E$ and for spaces $E$ of Lipschitz-functions, is the compactness of all intervals $\{z \in E: x \leqslant z \leqslant y\}$; but for general countable $E$ such an increasing $E$-valued process $\{X_t\}$ need not exist.
Publié le : 1978-12-14
Classification:  Stochastic partial ordering,  increasing processes,  60B99,  60G99
@article{1176995392,
     author = {Kamae, T. and Krengel, U.},
     title = {Stochastic Partial Ordering},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 1044-1049},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995392}
}
Kamae, T.; Krengel, U. Stochastic Partial Ordering. Ann. Probab., Tome 6 (1978) no. 6, pp.  1044-1049. http://gdmltest.u-ga.fr/item/1176995392/