Extended covariance identities and inequalities
type: Item
instance of: scholarly article
title: Extended covariance identities and inequalities
zbMATH Open document ID: 1078.60032
DOI: 10.1016/S0167-7152(01)00140-7
author: Nicolas Privault
published in: Statistics \& Probability Letters
publication date: 2002-09-05T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60E15
zbMATH DE Number: 1796627
zbMATH Keywords: covariance identities
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: normal martingale
zbMATH Keywords: Poisson process
reviewed by: K. Kubilius
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1796627