Supermodular ordering of poisson arrays
Date of Issue2014
School of Physical and Mathematical Sciences
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 Poisson random vectors. Our results rely on a new triangular structure for the representation of Poisson random vectors using their Lévy-Khintchine representation.
Statistics and probability letters
© 2014 Elsevier B.V. This is the author created version of a work that has been peer reviewed and accepted for publication by Statistics and Probability Letters, Elsevier B.V. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [Article DOI: http://dx.doi.org/10.1016/j.spl.2014.12.021].