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Extended covariance identities and inequalities

✍ Scribed by Nicolas Privault

Book ID
104301756
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
116 KB
Volume
55
Category
Article
ISSN
0167-7152

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✦ Synopsis

We state an abstract version of covariance identities and inequalities for normal martingales, which uses any gradient operator that satisÿes a Clark formula. This extends and makes more precise some results of Houdrà e and Pà erez-Abreu (Ann. Probab. 23 (1995)), with simpliÿed proofs.

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