Extended covariance identities and inequalities

DOI10.1016/S0167-7152(01)00140-7zbMATH Open1078.60032MaRDI QIDQ1612930FDOQ1612930

Authors: Nicolas Privault 

Publication date: 5 September 2002

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

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zbMATH Keywords

Malliavin calculusPoisson processnormal martingalecovariance identities

Mathematics Subject Classification ID

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

Cites Work

• Dirichlet forms and analysis on Wiener space
• Integration by parts for Poisson processes
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Title not available (Why is that?)
• Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
• Title not available (Why is that?)

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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