Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos (Q1567317): Difference between revisions

The authors consider an anticipating stochastic bilinear equation driven by a compensated Poisson process where the drift coefficient is in the first Poisson-Itô chaos and the diffusion coefficient is not necessarily adapted. They use the structure of the canonical Poisson process to prove that the unique strong solution of the equation has an explicit chaos decomposition.