{
  "id": "0801.4621",
  "version": "v1",
  "published": "2008-01-30T08:51:44.000Z",
  "updated": "2008-01-30T08:51:44.000Z",
  "title": "Convex ordering for random vectors using predictable representation",
  "authors": [
    "Marc Arnaudon",
    "Jean-Christophe Breton",
    "Nicolas Privault"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We prove convex ordering results for random vectors admitting a predictable representation in terms of a Brownian motion and a non-necessarily independent jump component. Our method uses forward-backward stochastic calculus and extends previous results in the one-dimensional case. We also study a geometric interpretation of convex ordering for discrete measures in connection with the conditions set on the jump heights and intensities of the considered processes.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-01-30T08:51:44.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60E15",
      "60H05",
      "60G44",
      "60G55"
    ],
    "keywords": [
      "random vectors",
      "predictable representation",
      "non-necessarily independent jump component",
      "forward-backward stochastic calculus",
      "convex ordering results"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}