Extended covariance identities and inequ
β
Nicolas Privault
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Article
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2001
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Elsevier Science
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English
β 116 KB
We state an abstract version of covariance identities and inequalities for normal martingales, which uses any gradient operator that satisΓΏes a Clark formula. This extends and makes more precise some results of HoudrΓ e and PΓ erez-Abreu (Ann. Probab. 23 (1995)), with simpliΓΏed proofs.