Discrete chaotic calculus and covariance identities

DOI10.1080/10451120290019230zbMATH Open1007.60047OpenAlexW2076946808MaRDI QIDQ4542937FDOQ4542937

Authors: Wim Schoutens, Nicolas Privault 

Publication date: 20 March 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120290019230

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• Stochastic analysis of Bernoulli processes
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zbMATH Keywords

Markov chainsKrawtchouk polynomialsbinomial processcovariance identitiesClark formulaiterated stochastic integral

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic integrals (60H05)

Cites Work

• Lévy processes, polynomials and martingales
• Stochastic processes and orthogonal polynomials
• Quantum probability for probabilists
• Orthogonal functionals of the Poisson process
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Concentration and deviation inequalities in infinite dimensions via covariance representations
• Discrete Wick calculus and stochastic functional equations
• On Gaussian and Bernoulli covariance representations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Chaotic representation for finite markov chains
• Wiener analysis of functionals of a Markov chain: Application to neural transformations of random signals
• Chaotic Kabanov formula for the Azéma martingales
• Title not available (Why is that?)

Cited In (8)

• A discrete-time Clark-Ocone formula for Poisson functionals
• Clark formula and logarithmic Sobolev inequalities for Bernoulli measures
• Stochastic analysis of Bernoulli processes
• Variance reduction for discretised diffusions via regression
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
• Clark-Ocone formulas and Poincaré inequalities of the discrete cube
• An alternative approach to Privault's discrete-time chaotic calculus
• Stratified regression-based variance reduction approach for weak approximation schemes

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