Abstract
We give, in a Markovian set-up, some examples of processes which are increasing in the convex order (we call them peacocks). We then establish some relation between the stochastic and convex orders.
AMS Classification: 60J25, 32F17, 60G44, 60E15
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Acknowledgements
We are grateful to F. Hirsch and M. Yor for numerous fruitful discussions during the preparation of this work.
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Bogso, AM., Profeta, C., Roynette, B. (2012). Some Examples of Peacocks in a Markovian Set-Up. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLIV. Lecture Notes in Mathematics(), vol 2046. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27461-9_15
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DOI: https://doi.org/10.1007/978-3-642-27461-9_15
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