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Positive dependence orderings and stopping times

  • Bruno Bassan
  • Marco Scarsini
Stochastic Process

Abstract

We study the positive dependence of pairs of stochastic processes and examine its relation with the properties of certain stopping times. Some special cases, such as dependent random walks, Gaussian processes and exchangeable sequences of elliptically contoured random variables, are taken into account.

Key words and phrases

Stochastic orderings bivariate random walks bivariate Gaussian processes exchangeable sequences 

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References

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Copyright information

© The Institute of Statistical Mathematics 1994

Authors and Affiliations

  • Bruno Bassan
    • 1
  • Marco Scarsini
    • 2
  1. 1.Dipartimento di MatematicaPolitecnico di MilanoMilanoItaly
  2. 2.Dipartimento di Metodi QuantitativiUniversità G. D'AnnunzioPescaraItaly

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