Extended covariance identities and inequalities
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.
Volume (Year): 55 (2001)
Issue (Month): 3 (December)
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References listed on IDEAS
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- Privault, Nicolas, 1999. "Multiple stochastic integral expansions of arbitrary Poisson jump times functionals," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 179-188, June.
- 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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