1. Supermodular ordering of Poisson arrays.
- Author
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Kızıldemir, Bünyamin and Privault, Nicolas
- Subjects
- *
POISSON processes , *TRIANGULARIZATION (Mathematics) , *RANDOM variables , *COVARIANCE matrices , *VECTOR analysis , *STOCHASTIC orders - Abstract
We derive necessary and sufficient 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–diffusion 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. [ABSTRACT FROM AUTHOR]
- Published
- 2015
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