MRL order, log-concavity and an application to peacocks

We provide an equivalent log-concavity condition to the mean residual life (MRL) ordering for real-valued processes. This result, combined with classical properties of total positivity of order 2, allows to exhibit new families of integrable processes which increase in the MRL order (MRL processes). Note that MRL processes with constant mean are peacocks to which the Azéma–Yor (Skorokhod embedding) algorithm yields an explicit associated martingale.

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Year of publication:	2015
Authors:	Bogso, Antoine Marie
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 4, p. 1282-1306
Publisher:	Elsevier
Subject:	MRL order \| Log-concavity \| Peacocks \| Martingales \| Markov processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194126