Generalisation of Hajek’s Stochastic Comparison Results to Stochastic Sums
Generalisation of Hajek’s Stochastic Comparison Results to Stochastic Sums
Hajek’s univariate stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monotonic nondecreasing convex data functions for processes with and without drift, respectively. As a consequence strategies for a class of multivariate optimal control problems can be determined by maximizing variance. …