3 papers
math.PR2019
Comparison of Markov processes by the martingale comparison method
Benedikt Köpfer, Ludger Rüschendorf
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been o…
math.PR2019
Comparison of path-dependent functionals of semimartingales
Benedikt Köpfer, Ludger Rüschendorf
Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of…
math.PR2019
Comparison of path-independent functions of semimartingales
Benedikt Köpfer, Ludger Rüschendorf
The martingale comparison method is extended to derive comparison results for path-independent functions for general semimartingales. Our approach allows to dismiss with the Markov…