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Comonotonic stochastic processes and generalized mean-square stochastic integral with applications

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Abstract

The concept of monotonic stochastic processes was introduced by Skowroński [Aequationes mathematicae 44 (1992) 249–258]. In this paper, we introduce the concept of comonotonic stochastic processes. As an application, we propose the well-known Chebyshev type inequality for two comonotonic stochastic processes via the generalized mean-square stochastic integral.

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Authors and Affiliations

  1. Department of Mathematics, Faculty of Basic Science, Babol Noshirvani University of Technology, Babol, Iran

    Hamzeh Agahi

  2. Department of Mathematics, Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran

    Milad Yadollahzadeh

Authors
  1. Hamzeh Agahi
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  2. Milad Yadollahzadeh
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Correspondence to Hamzeh Agahi.

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Agahi, H., Yadollahzadeh, M. Comonotonic stochastic processes and generalized mean-square stochastic integral with applications. Aequat. Math. 91, 153–159 (2017). https://doi.org/10.1007/s00010-016-0442-y

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  • DOI: https://doi.org/10.1007/s00010-016-0442-y

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