In an earlier reference, we provided a review of the regular, sample path and strong stochastic concepts of stochastic convexity in both univariate and multivariate settings, jointly with most of their applications, and some other new results for analysing communication systems on the basis of biologically inspired models. This article provides a comprehensive discussion about the regular notion of stochastic increasing and directional convexity, denoted by SI DCX introduced by Meester and Shanthikumar for a general partially ordered space. We study the connection of the SI DCX property of X.Â/ for  taking on values over a sublattice and the optimal solution of a maximization problem with objective function given by the expected value of any increasing convex function of the parameterized random variable X.Â/, as well as the analysis of the variability ordering of the mixture model with correlated parameters. We illustrate these results with the conditions for the SI DCX property of the sojourn time at M=ı=1 processor sharing queues, the arrival time at GI/GI/1-queues; best monitoring scales for the ageing description; the total score for the best selected items in sequential screening; moments of multivariate distributions; Keywords: stochastic directional convexity; processor sharing and GI/GI/1-queues; best monitoring scales; sequential screening; traffic on websites; opportunistic maintenance
Motivation and preliminariesThe theory of stochastic convexity has played a prominent role as a framework to analyse the stochastic behaviour of parameterized models in both univariate and multivariate settings. These properties have been applied in areas as diverse as communication systems, queueing systems, manufacturing, scheduling, reliability, biotechnology, hydrology, finance, actuarial science and statistics. Consider a family of parameterized univariate or multivariate random variables fX.Â/j 2 T g over a probability space . ; =; P r/, with T R n with n > 1, being some sublattice. The parameter  represents a value of a random variable influencing the probability distribution of X.Â/. Regular, sample path and strong stochastic convexity notions have been defined to intuitively describe how the random objects X.Â/ grow convexly (or concavely) concerning their parameters in the univariate case. The univariate notions of stochastic convexity were extended to the multivariate case by means of directionally convex functions, leading to different concepts of stochastic directional convexity [1]. Meester and Shanthikumar [2] extended the notions of stochastic directional convexity formulated by Shaked and Shanthikumar [1] to general partially ordered spaces, concluding that this general theory encompasses the univariate stochastic convexity earlier and at the same time allows one the treatment of multivariate multiparameter families as well as more general random objects and stochastic processes. The concepts that we are going to study in this article are some of those in [2]. The regular stochastic directional conve...