Poisson process Fock space representation, chaos expansion and covariance inequalities (Q718899): Difference between revisions

Let \(\eta\) be a Poisson process on a measurable space \((\mathbb Y, \mathcal Y)\) with \(\sigma\)-finite intensity measure \(\lambda\). In contrast to the literature, the authors do not make any restrictions of generality, they neither impose a topological structure on \((\mathbb Y, \mathcal Y)\), nor assume the measure \(\lambda\) to be continuous. The paper is organized as follows: Section 2 establishes an explicit Fock space representation of square integrable functions of \(\eta\). In Section 3, the authors identify explicitly, in terms of iterated difference operators, the integrand in the Wiener-Itô chaos expansion. Section 4 applies the results of the previous two sections to extend well-known variance inequalities for homogeneous Poisson processes on the line to the general Poisson case. In Section 5, the authors derive covariance identities for Poisson processes on (strictly) ordered spaces and Harris-FKG-inequalities for monotone functions of \(\eta\). In Section 6, the authors discuss the Poincaré and Harris-FKG inequalities for infinitely divisible random measures. Section 7 describes some of the implications in the case where \(\mathbb Y\) is a finite set.