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Extended covariance identities and inequalities

  • Privault, Nicolas

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.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 55 (2001)
Issue (Month): 3 (December)
Pages: 247-255

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Handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:247-255
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  1. Privault, Nicolas, 1999. "Multiple stochastic integral expansions of arbitrary Poisson jump times functionals," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 179-188, June.
  2. Elliott, R. J. & Tsoi, A. H., 1993. "Integration by Parts for Poisson Processes," Journal of Multivariate Analysis, Elsevier, vol. 44(2), pages 179-190, February.
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