Displaying similar documents to “Geometrical probabilities for convex test bodies.”

Stochastic comparison of multivariate random sums

Rafał Kulik (2003)

Applicationes Mathematicae

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We establish preservation results for the stochastic comparison of multivariate random sums of stationary, not necessarily independent, sequences of nonnegative random variables. We consider convex-type orderings, i.e. convex, coordinatewise convex, upper orthant convex and directionally convex orderings. Our theorems generalize the well-known results for the stochastic ordering of random sums of independent random variables.

Generalized RBSDEs with Random Terminal Time and Applications to PDEs

Katarzyna Jańczak-Borkowska (2011)

Bulletin of the Polish Academy of Sciences. Mathematics

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Generalized reflected backward stochastic differential equations have been considered so far only in the case of a deterministic interval. In this paper the existence and uniqueness of solution for generalized reflected backward stochastic differential equations in a convex domain with random terminal time is studied. Applications to the obstacle problem with Neumann boundary conditions for partial differential equations of elliptic type are given.