Couplings for processes with independent increments

Publication date: Available online 17 November 2018Source: Statistics & Probability LettersAuthor(s): David CriensAbstractStrassen’s theorem states that the usual stochastic order of two processes is equivalent to the existence of a pathwise ordered coupling. In the case of processes with independent increments, we construct explicit pathwise ordered couplings under suitable conditions on the characteristics of the processes. To formalize the couplings we use independent decompositions, a redistribution mechanism for jumps and Itô’s map, which relates general Lévy measures to a reference Lévy measure.

Source: Statistics and Probability Letters - November 18, 2018 Category: Statistics Source Type: research