Clark-Ocone formula and variational representation for Poisson functionals (Q1019087): Difference between revisions

Consider a bounded variable \(F\) defined on a Poisson space. The aim of this article is to give a variational formula for the Laplace transform of \(F\). More precisely, \(-\log E[e^{-F}]\) is written as the infimum, with respect to a predictable process \(\phi\), of the expectation of some functional involving \(\phi\). The basic tool is a general variational formula which was obtained by \textit{P. Dupuis} and \textit{R. S. Ellis} [A weak convergence approach to the theory of large deviations. Chichester: John Wiley \& Sons. ((1997; Zbl 0904.60001)], and which involves some relative entropies. In order to adapt this formula to the particular case of a Poisson space, the author uses a Clark-Ocone formula. He deduces the desired formula, and another one which is valid under additional assumptions. In the last section, he discusses the relations between these additional assumptions and a mass transportation problem.