Results 261 to 270 of about 1,067,232 (298)
Some of the next articles are maybe not open access.
Stochastic ordering of order statistics
Journal of Applied Probability, 1991If Xi, i = 1, ···, n are independent exponential random variables with parameters λ1, · ··, λ n, and if Yi, i = 1, ···, n are independent exponential random variables with common parameter equal to (λ1 + · ·· + λ n)/n, then there is a monotone coupling of the order statistics X(1), · ··, X(n) and Y(1), · ··, Y(n); that is, it is possible to construct ...
Barbour, A D, Lindvall, T, Rogers, L
openaire +2 more sources
GENERALIZED STOCHASTIC CONVEXITY AND STOCHASTIC ORDERINGS OF MIXTURES
Probability in the Engineering and Informational Sciences, 1999In this paper, a new concept called generalized stochastic convexity is introduced as an extension of the classic notion of stochastic convexity. It relies on the well-known concept of generalized convex functions and corresponds to a stochastic convexity with respect to some Tchebycheff system of functions.
Denuit, Michel +2 more
openaire +2 more sources
Global Dependence Stochastic Orders
Methodology and Computing in Applied Probability, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shaked, Moshe +2 more
openaire +1 more source
Convexification of stochastic ordering. [PDF]
, 2004 In this paper sets defined by first order stochastic dominance constraints are considered. The authors impose rather general assumptions in order to prove that in the space of integrable random variables the closed convex hull of the set of the usual stochastic ordering relation is equal to the set defined by the second order stochastic dominance ...
Darinka Dentcheva, Andrzej Ruszczynski
openaire +1 more source
Sequential Order Statistics: Ageing and Stochastic Orderings
Methodology and Computing in Applied Probability, 2011The authors identify conditions, on the distribution functions that underlie sequential order statistics, which yield various stochastic comparisons of the corresponding sequential order statistics. They also derive sufficient conditions under which sequential order statistics have various aging properties such as increasing failure rates, increasing ...
Torrado, Nuria +2 more
openaire +2 more sources
A comparison of stochastically ordered queues
International Journal of Systems Science, 1997In this paper, the principle of stochastic ordering is applied to compare performance measures such as waiting times of two queueing systems. The technique of Monte Carlo simulation is employed to study the behaviour of such systems. It is shown that, in practice, to compare two stochastically ordered queues, we require a large number of customers to ...
openaire +2 more sources
On stochastic inequalities and dependence orderings
Applied Mathematics and Computation, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
A Stochastic Model for Order Book Dynamics
SSRN Electronic Journal, 2008We propose a continuous-time stochastic model for the dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics, and its analytical tractability allows for fast computation of various quantities of interest without ...
Rama Cont, Sasha Stoikov, Rishi Talreja
openaire +3 more sources
Stochastic Ordering of Order Statistics II
2002In this paper we survey some recent developments involving comparisons of order statistics and spacings in various stochastic senses.
Philip J. Boland +3 more
openaire +1 more source
Stochastic Orderings for Markov Processes on Partially Ordered Spaces
Mathematics of Operations Research, 1987The purpose of this paper is to develop a unified theory of stochastic ordering for Markov processes on countable partially ordered state spaces. When such a space is not totally ordered, it can induce a wide range of stochastic orderings, none of which are equivalent to sample path comparisons.
openaire +3 more sources