The exponential space of an \(L^ 2\)-stochastic process with independent increments (Q1104636): Difference between revisions
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Property / author: Victor Perez-Abreu / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/0167-7152(88)90101-0 / rank | |||
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Latest revision as of 17:48, 18 June 2024
scientific article
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English | The exponential space of an \(L^ 2\)-stochastic process with independent increments |
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The exponential space of an \(L^ 2\)-stochastic process with independent increments (English)
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1988
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An isometry of the exponential space (Fock space) associated with a Poisson random measure with \(\sigma\)-finite control measure to a specified subspace of \(L^ 2\) is constructed. The same result using multiple Poisson integrals was earlier proved by \textit{D. Surgailis} [Probab. Math. Stat. 3, 217-239 (1982; Zbl 0548.60058)]. The present proof exploits a discrete martingale technique. As a consequence of this result, an isometry of the exponential space associated with an \(L^ 2\)-stochastic process with independent increments to a specified subspace of \(L^ 2\) is also constructed.
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homogeneous chaos
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Poisson random measure
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multiple Poisson integrals
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