Loading...
Ito-Wiener chaos expansion with exact residual and correlation, variance inequalities
Hu, Yaozhong
Hu, Yaozhong
Citations
Altmetric:
Abstract
We give a formula of expanding the solution of a stochastic differential equation (abbreviated as SDE) into a finite Ito-Wiener chaos with explicit residual. And then we apply this formula to obtain several inequalities for diffusions such as FKG type inequality, variance inequality and a correlation inequality for Gaussian measure. A simple proof for Houdre-Kagan's variance inequality for Gaussian measure is also given.
Description
Date
1997-10
Journal Title
Journal ISSN
Volume Title
Publisher
Collections
Research Projects
Organizational Units
Journal Issue
Keywords
Gaussian measure, Wiener process
Citation
Hu, YZ. Ito-Wiener chaos expansion with exact residual and correlation, variance inequalities. JOURNAL OF THEORETICAL PROBABILITY. OCT 1997. 10(4):835-848.