Articlebronze1995

Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces

59 citations0/0 files storedThe Annals of Probability

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Stochastic processes and financial applications Probability and Statistical Research Point processes and geometric inequalities

Abstract

We present covariance identities and inequalities for functionals of the Wiener and the Poisson processes. Using Malliavin calculus techniques, an expansion with a remainder term is obtained for the covariance of such functionals. Our results extend known identities and inequalities for functions of multivariate random vectors.

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References

1951Multiple Wiener Integral 1991Dirichlet Forms and Analysis on Wiener Space 1988Stochastic calculus with anticipating integrands 1990Differential Calculus and Integration by Parts on Poisson Space 1991An extension of clark' formula 1990Stochastic Analysis and Related Topics II

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1997Itô-Wiener Chaos Expansion with Exact Residual and Correlation, Variance Inequalities

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