Girsanov identities for Poisson measures under quasi-nilpotent transformations (Q428138): Difference between revisions

The author establishes Girsanov identities for Poisson random measures under anticipating quasi-nilpotent transformations. Such transformations are shown to be quasi-invariant and a representation result for their Radon-Nikodym densities, based on Doléans stochastic exponentials with jumps, is given. Various examples and applications are considered, which include applications to the Girsanov theorem as well as to the invariance of Poisson random measures under random transformations. The author deduces the key results from identities for multiple Poisson stochastic integrals and stochastic exponentials as well as from applying combinatorial identities for moment identities for Poisson integrals.