Smooth generators of integral stochastic orders

• 成果类型: Article
• 署名作者: Denuit, M; Müller, A
• 署名单位: Universite Catholique Louvain; Helmholtz Association; Karlsruhe Institute of Technology
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 1174-1184
• 关键词: dependence; queues

摘要

The purpose of this paper is to show that many integral stochastic orders have a generator consisting of infinitely differentiable functions. This especially holds for all stochastic orders with characterizations via difference operators. The usefulness of this result is demonstrated in two applications relating to stochastic ordering of multivariate normal distributions and ordering of random vectors in a random environment.