| Título: | FKG Inequality for Brownian Motion and Stochastic Differential Equations |
| Autores: | Barbato, David; Università di Pisa, Italy |
| Fecha: | 2005-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: | No aplica |
| Descripción: | 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. |
| Idioma: | No aplica |
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