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)

Full work available at URL https://doi.org/10.1016/S0167-7152(01)00140-7

zbMATH Keywords

covariance identitiesMalliavin calculusnormal martingalePoisson process

Mathematics Subject Classification ID

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

Review text

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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Cites work

• 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
• scientific article; zbMATH DE number 1342048 (Why is no real title available?)
• scientific article; zbMATH DE number 4122983 (Why is no real title available?)
• Integration by parts for Poisson processes
• Multiple stochastic integral expansions of arbitrary Poisson jump times functionals

Cited in

(3)

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

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