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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 55 (2001)
Issue (Month): 3 (December)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:247-255. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.