Supermodular Stochastic Orders and Positive Dependence of Random Vectors

Cesaro Supermodular Order and Archimedean Copulas

In this paper, we introduce a new kind of order, Cesaro supermodular order, which includes supermodular order and stochastic order. For this new order, we show that it almost fulfils all desirable properties of a multivariate positive dependence order that have been proposed by Joe (1997). Also, we obtain some relations between it with other orders. Finally, we consider different issues related...

The Supermodular Stochastic Ordering

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the supermodular stochastic ordering if it yields a higher expectation than the other for all supermodular objective functions. We pro...

Autoregressive Gaussian Random Vectors of First Order

Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders

A stochastic tail order is introduced to compare right tails of distributions and related closure properties are established. The stochastic tail order is then used to compare the dependence structure of multivariate extreme value distributions in terms of upper tail behaviors of their underlying samples.

Discounted Supermodular Stochastic Games: Theory and Applications

This paper considers a general class of discounted Markov stochastic games characterized by multidimensional state and action spaces with an order structure, and one-period rewards and state transitions satisfying some complementarity and monotonicity conditions. Existence of pure-strategy Markov (Markov-stationary) equilibria for the …nite (in…nite) horizon game, with nondecreasing –and possib...