Weak stochastic ordering for multidimensional Markov chains

Authors:
Ad Ridder
Affiliations:
Free University Amsterdam, Department of Econometrics, de Boelelaan 1105, 1081 HV Amsterdam, The Netherlands
Venue:
Operations Research Letters
Year:
1995

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Abstract

In this paper we study weak stochastic ordering on multidimensional lattices. The main objective of our study is to derive comparison of multidimensional marginal distributions of two Markov chains. We are able to prove this when the matrices of transition probabilities satisfy monotonicity and comparability properties.