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arXiv · 1408.2992

Generalisation of Hajek s stochastic comparison results to stochastic sums

Joerg Kampen
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Abstract

Hajek's stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monoton nondecreasing convex data functions for processes with and without drift respectively. The univariate result is recovered.

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Joerg Kampen. 2014-08-13. Generalisation of Hajek s stochastic comparison results to stochastic sums. https://arxiv.org/abs/1408.2992

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