Discrete chaotic calculus and covariance identities

DOI10.1080/10451120290019230MaRDI QIDQ4542937zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chainsKrawtchouk polynomialsbinomial processcovariance identitiesClark formulaiterated stochastic integral

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1619453 (Why is no real title available?)
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• scientific article; zbMATH DE number 1342048 (Why is no real title available?)
• Chaotic Kabanov formula for the Azéma martingales
• Chaotic representation for finite markov chains
• Concentration and deviation inequalities in infinite dimensions via covariance representations
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Discrete Wick calculus and stochastic functional equations
• Lévy processes, polynomials and martingales
• On Gaussian and Bernoulli covariance representations
• Orthogonal functionals of the Poisson process
• Quantum probability for probabilists
• Stochastic processes and orthogonal polynomials
• Wiener analysis of functionals of a Markov chain: Application to neural transformations of random signals

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
• An alternative approach to Privault's discrete-time chaotic calculus
• Clark-Ocone formulas and Poincaré inequalities of the discrete cube
• Stratified regression-based variance reduction approach for weak approximation schemes

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