Integration by parts for Poisson processes (Q1209876): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1006/jmva.1993.1010 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2087577161 / rank | |||
Normal rank | |||
Revision as of 23:32, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integration by parts for Poisson processes |
scientific article |
Statements
Integration by parts for Poisson processes (English)
0 references
16 May 1993
0 references
An integration by parts formula is proved for functionals of a standard Poisson process; it is obtained by means of perturbations on the intensity rate of the Poisson process and by applying a Girsanov formula. This also enables the computation of the integrand in the integral representation of martingales for the Poisson process filtration.
0 references
integration by parts
0 references
integral representation of martingales
0 references
Poisson process
0 references
