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 |
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2015
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| Online Access: | https://hdl.handle.net/10356/107297 http://hdl.handle.net/10220/25440 |
| _version_ | 1811676930881093632 |
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| author | Kızıldemir, Bünyamin Privault, Nicolas |
| author2 | School of Physical and Mathematical Sciences |
| author_facet | School of Physical and Mathematical Sciences Kızıldemir, Bünyamin Privault, Nicolas |
| author_sort | Kızıldemir, Bünyamin |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T02:29:18Z |
| format | Journal Article |
| id | ntu-10356/107297 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:29:18Z |
| publishDate | 2015 |
| record_format | dspace |
| spelling | ntu-10356/1072972023-02-28T19:43:10Z Supermodular ordering of poisson arrays Kızıldemir, Bünyamin Privault, Nicolas School of Physical and Mathematical Sciences DRNTU::Science::Mathematics::Probability theory 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. Accepted version 2015-04-22T04:25:29Z 2019-12-06T22:28:22Z 2015-04-22T04:25:29Z 2019-12-06T22:28:22Z 2014 2014 Journal Article Kızıldemir, B., & Privault, N. (2015). Supermodular ordering of poisson arrays. Statistics and probability letters, 98, 136-143. 0167-7152 https://hdl.handle.net/10356/107297 http://hdl.handle.net/10220/25440 10.1016/j.spl.2014.12.021 en Statistics and probability letters © 2014 Elsevier B.V. This is the author created version of a work that has been peer reviewed and accepted for publication by Statistics and Probability Letters, Elsevier B.V. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [Article DOI: http://dx.doi.org/10.1016/j.spl.2014.12.021]. 14 p. application/pdf |
| spellingShingle | DRNTU::Science::Mathematics::Probability theory Kızıldemir, Bünyamin Privault, Nicolas Supermodular ordering of poisson arrays |
| title | Supermodular ordering of poisson arrays |
| title_full | Supermodular ordering of poisson arrays |
| title_fullStr | Supermodular ordering of poisson arrays |
| title_full_unstemmed | Supermodular ordering of poisson arrays |
| title_short | Supermodular ordering of poisson arrays |
| title_sort | supermodular ordering of poisson arrays |
| topic | DRNTU::Science::Mathematics::Probability theory |
| url | https://hdl.handle.net/10356/107297 http://hdl.handle.net/10220/25440 |
| work_keys_str_mv | AT kızıldemirbunyamin supermodularorderingofpoissonarrays AT privaultnicolas supermodularorderingofpoissonarrays |