Supermodular ordering of poisson arrays

• Main Authors: Kızıldemir, Bünyamin, Privault, Nicolas
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2015
• Subjects: DRNTU::Science::Mathematics::Probability theory
• Online Access: https://hdl.handle.net/10356/107297; http://hdl.handle.net/10220/25440
• Institution: Nanyang Technological University

We derive necessary and su cient conditions for the supermodular ordering of certain triangular arrays of Poisson random variables, based on the componentwise ordering of their covariance matrices. Applications are proposed for markets driven by jump-di usion processes, using sums of Gaussian and Po...