Summary
As a continuation of the study by Herbst and Pitt (1991), this note presents two criteria. The first one is on the order-preservation for two (may be different) multidimensional diffusion processes. The second one is on the preservation of positive correlations for a diffusion process.
References
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Research supported in part by the Ying-Tung Fok Educational Foundation and the National Natural Science Foundation of China
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Chen, MF., Wang, FY. On order-preservation and positive correlations for multidimensional diffusion processes. Probab. Th. Rel. Fields 95, 421–428 (1993). https://doi.org/10.1007/BF01192172
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DOI: https://doi.org/10.1007/BF01192172
Mathematics Subject Classification (1991)
- 60J60