Generalisation of Hajek s stochastic comparison results to stochastic sums

Abstract

Hajek's stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monoton nondecreasing convex data functions for processes with and without drift respectively. The univariate result is recovered.

8 p. publication of some lecture notes of WS 2005/2006 in Heidelberg upon request