Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities

DOI10.1023/A:1022654314791MaRDI QIDQ1374847zbMATHFDO

Authors Yaozhong Hu

Publication date 19 July 1998

Published in Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

correlation inequalityvariance inequalityFKG type inequalityItô-Wiener chaos expansion

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Stochastic analysis (60H99)

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(22)

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• A convex/log-concave correlation inequality for Gaussian measure and an application to abstract Wiener spaces
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
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• Adaptive regression with Brownian path covariate
• Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions
• The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching
• Squared chaotic random variables: new moment inequalities with applications
• Algebraic methods toward higher-order probability inequalities. II.
• Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity
• A Gaussian correlation inequality and its applications to the existence of small ball constant.
• A stochastic sewing lemma and applications
• A note on Gaussian correlation inequalities for nonsymmetric sets
• Nonlinear Young integrals and differential systems in Hölder media
• Quantitative correlation inequalities via extremal power series
• A Delayed Black and Scholes Formula

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