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From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity (2008.04194v4)

Published 10 Aug 2020 in math.PR

Abstract: It was recently proven that the correlation function of the stationary version of a reflected L\'evy process is nonnegative, nonincreasing and convex. In another branch of the literature it was established that the mean value of the reflected process starting from zero is nonnegative, nondecreasing and concave. In the present paper it is shown, by putting them in a common framework, that these results extend to substantially more general settings. Indeed, instead of reflected L\'evy processes, we consider a class of more general stochastically monotone Markov processes. In this setup we show monotonicity results associated with a supermodular function of two coordinates of our Markov process, from which the above-mentioned monotonicity and convexity/concavity results directly follow, but now for the class of Markov processes considered rather than just reflected L\'evy processes. In addition, various results for the transient case (when the Markov process is not in stationarity) are provided. The conditions imposed are natural, in that they are satisfied by various frequently used Markovian models, as illustrated by a series of examples.

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