COVARIANCE IDENTITIES AND INEQUALITIES FOR FUNCTIONALS ON WIENER AND POISSON SPACES

Authors
HOUDRE C PEREZABREU V
Citation
C. Houdre et V. Perezabreu, COVARIANCE IDENTITIES AND INEQUALITIES FOR FUNCTIONALS ON WIENER AND POISSON SPACES, Annals of probability, 23(1), 1995, pp. 400-419
Citations number
28
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of probability → ACNP
ISSN journal
00911798
Volume
23
Issue
1
Year of publication
1995
Pages
400 - 419
Database
ISI
SICI code
0091-1798(1995)23:1<400:CIAIFF>2.0.ZU;2-B
Abstract
We present covariance identities and inequalities for functionals of t he Wiener and the Poisson processes. Using Malliavin calculus techniqu es, an expansion with a remainder term is obtained for the covariance of such functionals. Our results extend known identities and inequalit ies for functions of multivariate random vectors.