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  • Search: subject:"Infinitely divisible random vectors"
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Infinitely divisible random vectors 1 Jump–diffusion models 1 Poisson distribution 1 Stochastic ordering 1 Supermodular functions 1
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Kızıldemir, Bünyamin 1 Privault, Nicolas 1
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Statistics & Probability Letters 1
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Supermodular ordering of Poisson arrays
Kızıldemir, Bünyamin; Privault, Nicolas - In: Statistics & Probability Letters 98 (2015) C, pp. 136-143
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...
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