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On order-preservation and positive correlations for multidimensional diffusion processes
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  • Published: September 1993

On order-preservation and positive correlations for multidimensional diffusion processes

  • Mu-Fa Chen1 &
  • Feng-Yu Wang1 

Probability Theory and Related Fields volume 95, pages 421–428 (1993)Cite this article

  • 228 Accesses

  • 29 Citations

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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.

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References

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  4. Herbst, I., Pitt, L.: Diffusion equation techniques in stochastic monotonicity and positive correlations. Probab. Theory Relat. Fields87, 275–312 (1991)

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Author information

Authors and Affiliations

  1. Department of Mathematics, Beijing Normal University, 100875, Beijing, People's Republic of China

    Mu-Fa Chen & Feng-Yu Wang

Authors
  1. Mu-Fa Chen
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  2. Feng-Yu Wang
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Additional information

Research supported in part by the Ying-Tung Fok Educational Foundation and the National Natural Science Foundation of China

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Cite this article

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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  • Received: 17 March 1992

  • Revised: 16 October 1992

  • Issue Date: September 1993

  • DOI: https://doi.org/10.1007/BF01192172

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Mathematics Subject Classification (1991)

  • 60J60
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