Supermodular ordering of poisson arrays
We derive necessary and su cient 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-di usion processes, using sums of Gaussian and Po...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2015
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/107297 http://hdl.handle.net/10220/25440 |
| Summary: | We derive necessary and su cient 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-di usion 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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