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math.PR2024
An Optimal Functional Itô's Formula For Lévy Processes
Christian Houdré, Jorge Víquez
Several versions of Itô's formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbi…
math.PR2024
Variance Bounds: Some Old and Some New
Clément Deslandes, Christian Houdré
For functions of independent random variables, various upper and lower variance bounds are revisited in diverse settings. These are then specialized to the Bernoulli, Gaussian, inf…