| dc.contributor.author | Hu, Yaozhong | |
| dc.date.accessioned | 2005-04-11T18:32:50Z | |
| dc.date.available | 2005-04-11T18:32:50Z | |
| dc.date.issued | 1997-10 | |
| dc.identifier.citation | Hu, YZ. Ito-Wiener chaos expansion with exact residual and correlation, variance inequalities. JOURNAL OF THEORETICAL PROBABILITY. OCT 1997. 10(4):835-848. | |
| dc.identifier.other | ISI:A1997YG94900002 | |
| dc.identifier.uri | http://hdl.handle.net/1808/279 | |
| dc.description.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. | |
| dc.description.sponsorship | Research supported partly by theh National Science Foundation and the Air Force Office of Scientific Research Grant No. F49620 92 J0154 and the Army Research Office Grant No. DAAL 03 92 G 0008 when author was in Center for Stochastic Process, UNC-CH, NC 27599-3260 and partly by an NAVF research scholarship. | |
| dc.format.extent | 153235 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en_US | |
| dc.subject | Gaussian measure | |
| dc.subject | Wiener process | |
| dc.title | Ito-Wiener chaos expansion with exact residual and correlation, variance inequalities | |
| dc.type | Preprint | |
| dc.identifier.doi | 10.1023/A:1022654314791 | |
| dc.rights.accessrights | openAccess | |
