COVARIANCE IDENTITIES AND INEQUALITIES FOR FUNCTIONALS ON WIENER AND POISSON SPACES

• 成果类型: Article
• 署名作者: HOUDRE, C; PEREZABREU, V
• 署名单位: CIMAT - Centro de Investigacion en Matematicas
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176988392
• 发表日期: 1995
• 页码: 400-419
• 关键词: poincare-type inequalities; chernoff

摘要

We present covariance identities and inequalities for functionals of the Wiener and the Poisson processes. Using Malliavin calculus techniques, an expansion with a remainder term is obtained for the covariance of such functionals. Our results extend known identities and inequalities for functions of multivariate random vectors.