Girsanov identities for Poisson measures under quasi-nilpotent transformations (Q428138): Difference between revisions
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The author establishes Girsanov identities for Poisson random measures under anticipating quasi-nilpotent transformations. Such transformations are shown to be quasi-invariant and a representation result for their Radon-Nikodym densities, based on Doléans stochastic exponentials with jumps, is given. Various examples and applications are considered, which include applications to the Girsanov theorem as well as to the invariance of Poisson random measures under random transformations. The author deduces the key results from identities for multiple Poisson stochastic integrals and stochastic exponentials as well as from applying combinatorial identities for moment identities for Poisson integrals. | |||
Property / review text: The author establishes Girsanov identities for Poisson random measures under anticipating quasi-nilpotent transformations. Such transformations are shown to be quasi-invariant and a representation result for their Radon-Nikodym densities, based on Doléans stochastic exponentials with jumps, is given. Various examples and applications are considered, which include applications to the Girsanov theorem as well as to the invariance of Poisson random measures under random transformations. The author deduces the key results from identities for multiple Poisson stochastic integrals and stochastic exponentials as well as from applying combinatorial identities for moment identities for Poisson integrals. / rank | |||
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Property / reviewed by: Almut E. D. Veraart / rank | |||
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Property / Mathematics Subject Classification ID: 60G57 / rank | |||
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Property / Mathematics Subject Classification ID: 60G30 / rank | |||
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Property / Mathematics Subject Classification ID: 60H07 / rank | |||
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Property / Mathematics Subject Classification ID: 28D05 / rank | |||
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Property / Mathematics Subject Classification ID: 28C20 / rank | |||
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Property / Mathematics Subject Classification ID: 11B73 / rank | |||
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Property / zbMATH DE Number: 6047798 / rank | |||
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Poisson measures | |||
Property / zbMATH Keywords: Poisson measures / rank | |||
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random transformations | |||
Property / zbMATH Keywords: random transformations / rank | |||
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Girsanov identities | |||
Property / zbMATH Keywords: Girsanov identities / rank | |||
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quasi-invariance | |||
Property / zbMATH Keywords: quasi-invariance / rank | |||
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invariance | |||
Property / zbMATH Keywords: invariance / rank | |||
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Skorohod integral | |||
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moment identities | |||
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Stirling numbers | |||
Property / zbMATH Keywords: Stirling numbers / rank | |||
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Revision as of 23:15, 29 June 2023
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English | Girsanov identities for Poisson measures under quasi-nilpotent transformations |
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Girsanov identities for Poisson measures under quasi-nilpotent transformations (English)
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19 June 2012
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The author establishes Girsanov identities for Poisson random measures under anticipating quasi-nilpotent transformations. Such transformations are shown to be quasi-invariant and a representation result for their Radon-Nikodym densities, based on Doléans stochastic exponentials with jumps, is given. Various examples and applications are considered, which include applications to the Girsanov theorem as well as to the invariance of Poisson random measures under random transformations. The author deduces the key results from identities for multiple Poisson stochastic integrals and stochastic exponentials as well as from applying combinatorial identities for moment identities for Poisson integrals.
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Poisson measures
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random transformations
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Girsanov identities
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quasi-invariance
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invariance
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Skorohod integral
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moment identities
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Stirling numbers
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