Extended covariance identities and inequalities

Nicolas Privault

Statistics & Probability Letters, 2001, vol. 55, issue 3, 247-255

Abstract: We state an abstract version of covariance identities and inequalities for normal martingales, which uses any gradient operator that satisfies a Clark formula. This extends and makes more precise some results of Houdré and Pérez-Abreu (Ann. Probab. 23 (1995)), with simplified proofs.

Keywords: Covariance; identities; Malliavin; calculus; Normal; martingales; Poisson; process (search for similar items in EconPapers)
Date: 2001
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