Extended covariance identities and inequalities

Statistics and Probability Letters

Volumn 55, Issue 3, 2001, Pages 247-255

  Privault, Nicolas ^a  

^a UNIVERSITÉ DE LA ROCHELLE   (France)

Author keywords

60E15; 60G44; Covariance identities; Malliavin calculus; Normal martingales; Poisson process

Indexed keywords

EID: 0042910559     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(01)00140-7     Document Type: Article

References (7)

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3. Elliott R.J., Tsoi A.H. Integration by parts for Poisson processes. J. Multivariate Anal. 44(2):1993;179-190.
4. Houdré C., Pérez-Abreu C. Covariance identities and inequalities for functionals on Wiener and Poisson spaces. Ann. Probab. 23:1995;400-419.
5. Privault, N., 1994. Chaotic and variational calculus in discrete and continuous time for the Poisson process. In: Dalang, R., Dozzi, M., Russo, F. (Eds.), Stochastics Stochastics Rep. 51, 83-109.
6. Privault, N., 1999a. Independence of a class of multiple stochastic integrals. In: Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, 1996, Birkhäuser, Basel, pp. 249-259.
7. Privault N. Multiple stochastic integral expansions of arbitrary poisson jump times functionals. Statist. Probab. Lett. 43:1999;179-188.