Perturbation analysis and Malliavin calculus (Q1296743): Difference between revisions

Consider a point process \(N\) depending on some parameter \(\theta\). The aim of the perturbation analysis is to study the dependence of the expectation of some functional \(F(N)\) with respect to \(\theta\). This problem is related to the stochastic calculus of variations (or Malliavin calculus). More precisely, for point processes, two approaches can be used: a variational approach, and another one based on a difference operator. These two methods are described, and several applications are given.