Extended covariance identities and inequalities

DOI10.1016/S0167-7152(01)00140-7MaRDI QIDQ1612930zbMATH OpenFDO

Authors Nicolas Privault

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusPoisson processnormal martingalecovariance identities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Recommendations

• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Covariance identities for normal variables via convex polytopes
• Some Applications of Covariance Identities and Inequalities to Functions of Multivariate Normal Variables
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• On logarithmic Sobolev inequalities for normal martingales

Cites work

• scientific article; zbMATH DE number 1342048 (Why is no real title available?)
• scientific article; zbMATH DE number 4122983 (Why is no real title available?)
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Dirichlet forms and analysis on Wiener space
• Integration by parts for Poisson processes
• Multiple stochastic integral expansions of arbitrary Poisson jump times functionals

Cited in

(3)

• Poisson process Fock space representation, chaos expansion and covariance inequalities
• An extended Stein-type covariance identity for the Pearson family with applications to lower variance bounds
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces

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