STOCHASTIC COMPARISONS OF IT(O)OVER-CAP PROCESSES

被引：3
|
作者：
BASSAN, B
CINLAR, E
SCARSINI, M
机构：
[1] PRINCETON UNIV,DEPT CIVIL ENGN & OPERAT RES,PRINCETON,NJ 08544
[2] UNIV ROMA LA SAPIENZA,DIPARTIMENTO STAT PROBABIL & STAT APPLICATE,I-00185 ROME,ITALY
[3] UNIV DANNUNZIO,DIPARTIMENTO METODI QUANTITAT,PESCARA,ITALY
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1993年 / 45卷 / 01期
基金：
美国国家科学基金会;
关键词：
STOCHASTIC COMPARISONS; (O)OVER-CAP PROCESSES; LOCAL CHARACTERISTICS; RANDOM TIME CHANGES;
D O I：
10.1016/0304-4149(93)90056-A
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Stochastic comparisons of Markov processes have mostly been in terms of transition functions or infinitesimal generators. For Ito processes, that is, solutions of stochastic differential equations, it is possible to obtain very intuitive comparisons in terms of three deterministic functions that govern the drift, diffusion, and jumps. Some further results on semimartingale Hunt processes show the detrimental effect of time changes upon such comparisons.
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页码：1 / 11
页数：11
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