Multiple stochastic integral expansions of arbitrary Poisson jump times functionals (Q1293842)

The author studies the chaos expansion of smooth functionals of a finite number of jump times of a Poisson process. It has been known for a rather long time (Surgailis, 1984) that each square integrable functional over the Poisson space \((\Omega,{\mathcal F},P)\) can be expanded into a series of multiple stochastic integrals of symmetric deterministic Borel functions. This allows to identify \(L^2(\Omega,{\mathcal F},P)\) with the Fock space \(\bigoplus_{n\geq 0}L^2_{\text{sym}}(R^n_+)\). The gradient operator on the Fock space allows to compute the chaos expansion for smooth functionals (Stroock, 1987); its analogon on the Poisson space is a finite difference operator. By using the Clark-Ocone and Stroock (1987) formulas, in 1994 Privault has developed an induction formula to calculate the chaos expansion of jump times of the Poisson process on \(R_+\). In 1996, in the case of a bounded interval, León and Tudor have presented a direct way which bases on Stroock's formula and the gradient on the Fock space. In the present note a rather simple calculus (which avoids the use of the gradient of the Fock space) extends the previous results to general smooth functionals of a finite number of Poisson jump times. The results obtained are applied to some class of multiplicative exponentials on the Poisson space and then compared to their counterparts on the classical Wiener space.