Moment identities for Poisson-Skorohod integrals and application to measure invariance (Q841296): Difference between revisions

The author computes arbitrary integer powers of Skorohod integrals on a Poisson space. These moment identities are obtained using the Malliavin difference operator on the Poisson space. Since this operator does not satisfy the standard chain rule property, the proof of these moment identities are more complex than in the Gaussian setting. As an application, the author shows that the image of a random transformation satisfying condition (12) from a Poisson space \((X,\sigma)\) to another Poisson space \((Y,\mu)\) mapping \(\sigma\) to \(\mu\) preserves the Poisson structure. More precisely, it maps the Poisson distribution \(\Pi_\sigma\) on \((X,\sigma)\) with intensity \(\sigma\) to the Poisson measure \(\Pi_\mu\) on \((Y,\mu)\) with intensity \(\mu\). This extends the existing results where this property was proved only when the aforementioned transformation is deterministic.