MRL order, log-concavity and an application to peacocks

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Bogso, Antoine Marie^1,2 

[1] Univ Lorraine, UMR 7502, Inst Elie Cartan Lorraine, F-54506 Vandoeuvre Les Nancy, France

[2] CNRS, UMR 7502, Inst Elie Carton Lorraine, F-54506 Vandoeuvre Les Nancy, France

关键词: MRL order;    Log-concavity;    Peacocks;    Martingales;    Markov processes;   

DOI  :  10.1016/j.spa.2014.10.015

来源: Elsevier

【 摘 要 】

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 Azema-Yor (Skorokhod embedding) algorithm yields an explicit associated martingale. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free