The Conditional Convex Order and a Comparison Inequality
AuthorChristofides, Tasos C.
SourceStochastic Analysis and Applications
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In this article, we define the conditional convex order, that is, a stochastic ordering between random variables given a sub-σ-algebra F. For the conditional convex order, we present a few representative results. In addition, we prove a comparison inequality, which, in a special case orders conditionally the partial sum of (Formula presented.) -associated random variables with that of (Formula presented.) -independent random variables. This latter result extends one of the main theorems of Boutsikas and Vaggelatou (“On the distance between convex-ordered random variables, with applications. Adv. in Appl. Probab., 34(2002):349–374). © 2015, Copyright © Taylor & Francis Group, LLC.