Stochastic analysis of Bernoulli processes
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Publication:980779
DOI10.1214/08-PS139zbMATH Open1189.60089arXiv0809.3168MaRDI QIDQ980779FDOQ980779
Authors: Nicolas Privault 
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
Abstract: These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable representation, anticipating calculus, covariance identities and functional inequalities (such as deviation and logarithmic Sobolev inequalities), and an application to option hedging in discrete time.
Full work available at URL: https://arxiv.org/abs/0809.3168
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- Normal approximation and almost sure central limit theorem for non-symmetric Rademacher functionals
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