Supermodular ordering of Poisson arrays

We derive necessary and sufficient conditions for the supermodular ordering of certain triangular arrays of Poisson random variables, based on the componentwise ordering of their covariance matrices. Applications are proposed for markets driven by jump–diffusion processes, using sums of Gaussian and Poisson random vectors. Our results rely on a new triangular structure for the representation of Poisson random vectors using their Lévy–Khintchine representation.

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Year of publication:	2015
Authors:	Kızıldemir, Bünyamin ; Privault, Nicolas
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 98.2015, C, p. 136-143
Publisher:	Elsevier
Subject:	Stochastic ordering \| Supermodular functions \| Infinitely divisible random vectors \| Poisson distribution \| Jump–diffusion models

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

Persistent link: https://www.econbiz.de/10011189364