Stochastic comparisons of Itô processes

B. Bassan, E. Çinlar, M. SCARSINI

Stochastic Processes and their Applications

1993, vol. 45, n°1, pp.1-11

Départements : Economie et Sciences de la décision

Stochastic comparisons of Markov processes have mostly been in terms of transition functions or infinitesimal generators. For Itô processes, that is, solutions of stochastic differential equations, it is possible to obtain very intuitive comparisons in terms of three deterministic functions that govern the drift, diffusion, and jumps. Some further results on semimartingale Hunt processes show the detrimental effect of time changes upon such comparisons