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FKG Inequality for Brownian Motion and Stochastic Differential Equations


 
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1. Title Title of document FKG Inequality for Brownian Motion and Stochastic Differential Equations
 
2. Creator Author's name, affiliation, country David Barbato; Università di Pisa, Italy
 
3. Subject Discipline(s)
 
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4. Description Abstract The purpose of this work is to study some possible application of FKG inequality to the Brownian motion and to Stochastic Differential Equations. We introduce a special ordering on the Wiener space and prove the FKG inequality with respect to this ordering. Then we apply this result on the solutions $X_t$ of a stochastic differential equation with a positive coefficient $\sigma$ , we prove that these solutions $X_t$ are increasing with respect to the ordering, and finally we deduce a correlation inequality between the solution of different stochastic equations.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2005-02-24
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1127
 
10. Identifier Digital Object Identifier 10.1214/ECP.v10-1127
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 10
 
12. Language English=en
 
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