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

Yaozhong Hu ()
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Yaozhong Hu: University of Kansas

Journal of Theoretical Probability, 1997, vol. 10, issue 4, 835-848

Abstract: Abstract We give a formula of expanding the solution of a stochastic differential equation (abbreviated as SDE) into a finite Itô-Wiener chaos with explicit residual. And then we apply this formula to obtain several inequalities for diffusions such as FKG type inequality, variance inequality and a correlation inequality for Gaussian measure. A simple proof for Houdré-Kagan's variance inequality for Gaussian measure is also given.

Keywords: Wiener process; Gaussian measure (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1022654314791

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