Advances and Applications in Statistics
Volume 2, Issue 1, Pages 51 - 78
(April 2002)
|
|
SOME COMPARISON RESULTS OF SOLUTIONS OF DIFFUSION AND JUMP-DIFFUSION EQUATIONS
Mario Abundo (Italy)
|
Abstract: Stochastic comparisons of
solutions to diffusion and jump-diffusion equations
in terms of their coefficients are obtained, and
some examples are illustrated. Moment comparisons of
solutions and some connections with certain partial
differential-difference equations associated to
jump-diffusions are also treated. |
Keywords and phrases: diffusion and jump-diffusion equations, stochastic comparison. |
|
Number of Downloads: 6 | Number of Views: 1022 |
|