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Characterisation of a multivariate stochastic ordering
Published online by Cambridge University Press: 17 April 2009
Abstract
The multivariate stochastic ordering induced by the convex nondecreasing functions compares a combination of size and variability of random vectors. Closely following methods developed by Strassen, we show that two probability measures are ordered in this way if and only if they are the marginals of some submartingale. The implications of this in majorisation theory are discussed.
- Type
- Research Article
- Information
- Bulletin of the Australian Mathematical Society , Volume 38 , Issue 3 , December 1988 , pp. 387 - 392
- Copyright
- Copyright © Australian Mathematical Society 1988
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