Extended covariance identities and inequalities (Q1612930): Difference between revisions
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Revision as of 15:31, 13 February 2024
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extended covariance identities and inequalities |
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Extended covariance identities and inequalities (English)
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5 September 2002
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The author provided a simplified proof of covariance identities obtained by \textit{C. Houdré} and \textit{V. Pérez-Abreu} [Ann. Probab. 23, 400--419 (1995; Zbl 0831.60029)], which are extended to any normal martingale with chaos representation property. Apart from the Wiener and Poisson processes, examples of such martingales are given by the family of Azéma martingales. Also the author makes precise some statements in Houdré and Pérez-Abreu (loc. cit.) on covariance identities.
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covariance identities
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Malliavin calculus
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normal martingale
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Poisson process
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