Some examples of peacocks in a Markovian set-up

Antoine-Marie Bogso (1) , Christophe Profeta (1) , Bernard Roynette (1)

1 IECN - Institut Élie Cartan de Nancy

We give, in a Markovian set-up, some examples of processes which are increasing in the convex order (we call them peacocks). We then establish some relation between the stochastic and convex orders.

Mots clés: Processes increasing in the convex order; Peacocks; Conditionnaly monotone processes; Stochastic order; Markov process

Domaines: Probabilités [math.PR]

Antoine-Marie Bogso, Christophe Profeta, Bernard Roynette. Some examples of peacocks in a Markovian set-up. 2010. ⟨hal-00472113⟩