Discrete chaotic calculus and covariance identities

DOI10.1080/10451120290019230zbMath1007.60047OpenAlexW2076946808MaRDI QIDQ4542937

Wim Schoutens, Nicolas Privault

Publication date: 20 March 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120290019230

zbMATH Keywords

Markov chainsKrawtchouk polynomialscovariance identitiesbinomial processClark formulaiterated stochastic integral

Mathematics Subject Classification ID

Related Items (5)

AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION ⋮ Variance reduction for discretised diffusions via regression ⋮ Stratified regression-based variance reduction approach for weak approximation schemes ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ Clark formula and logarithmic Sobolev inequalities for Bernoulli measures

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• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Chaotic representation for finite markov chains
• Lévy processes, polynomials and martingales
• Orthogonal functionals of the Poisson process
• On Gaussian and Bernoulli covariance representations

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