Covariance identities and inequalities for functionals on Wiener and Poisson spaces (Q1897190)
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scientific article; zbMATH DE number 796548
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| English | Covariance identities and inequalities for functionals on Wiener and Poisson spaces |
scientific article; zbMATH DE number 796548 |
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Covariance identities and inequalities for functionals on Wiener and Poisson spaces (English)
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11 February 1996
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The authors prove covariance identities and inequalities for functionals of the Wiener process and of the Poisson process using Malliavin calculus techniques. The results extend earlier inequalities for the variance of a function of a normal random variable obtained by \textit{H. Chernoff} [Ann. Probab. 9, 533-535 (1981; Zbl 0457.60014)], \textit{J. Nash} [Am. J. Math. 80, 931-954 (1958; Zbl 0096.069)] and others which in turn is a special case of a general Poincaré-type inequality for log concave densities given by \textit{H. J. Brascamp} and \textit{E. H. Lieb} [J. Funct. Anal. 22, 366-389 (1976; Zbl 0334.26009)].
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covariance identities
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inequalities for functionals of the Wiener process
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Malliavin calculus techniques
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