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Comparison of time-inhomogeneous Markov processes

Published online by Cambridge University Press:  11 January 2017

Ludger Rüschendorf
Affiliation:
University of Freiburg
Alexander Schnurr
Affiliation:
Siegen University and TU Dortmund
Viktor Wolf
Affiliation:
University of Freiburg
Corresponding

Abstract

Comparison results are given for time-inhomogeneous Markov processes with respect to function classes with induced stochastic orderings. The main result states the comparison of two processes, provided that the comparability of their infinitesimal generators as well as an invariance property of one process is assumed. The corresponding proof is based on a representation result for the solutions of inhomogeneous evolution problems in Banach spaces, which extends previously known results from the literature. Based on this representation, an ordering result for Markov processes induced by bounded and unbounded function classes is established. We give various applications to time-inhomogeneous diffusions, to processes with independent increments, and to Lévy-driven diffusion processes.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 2017 

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