Extended covariance identities and inequalities
The author provided a simplified proof of covariance identities obtained by \textit{C. Houdré} and \textit{V. Pérez-Abreu} [Ann. Probab. 23, 400--419 (1995; Zbl 0831.60029)], which are extended to any normal martingale with chaos representation property. Apart from the Wiener and Poisson processes, examples of such martingales are given by the family of Azéma martingales. Also the author makes precise some statements in Houdré and Pérez-Abreu (loc. cit.) on covariance identities.
scientific article; zbMATH DE number 1796627