Comonotonic stochastic processes and generalized mean-square stochastic integral with applications

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• 作者：Hamzeh Agahi ; Milad Yadollahzadeh
• 关键词：Comonotonic stochastic process ; Generalized mean ; square stochastic integral ; Chebyshev’s inequality
• 刊名：Aequationes mathematicae
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：91
• 期：1
• 页码：153-159
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Analysis; Combinatorics;
• 出版者：Springer International Publishing
• ISSN：1420-8903
• 卷排序：91

文摘

The concept of monotonic stochastic processes was introduced by Skowroński [Aequationes mathematicae 44 (1992) 249–258]. In this paper, we introduce the concept of comonotonic stochastic processes. As an application, we propose the well-known Chebyshev type inequality for two comonotonic stochastic processes via the generalized mean-square stochastic integral.