Clark-Ocone formula and variational representation for Poisson functionals

DOI10.1214/08-AOP411zbMath1179.60037arXiv0906.1721OpenAlexW2077493276MaRDI QIDQ1019087

Xicheng Zhang

Publication date: 27 May 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1721

zbMATH Keywords

Clark-Ocone formulaGirsanov theoremPoisson functionalvariational representation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

Well-posedness and large deviations for 2D stochastic Navier-Stokes equations with jumps ⋮ Dynamics and Large Deviations for Fractional Stochastic Partial Differential Equations with Lévy Noise ⋮ An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications ⋮ Uniform large deviations for multivalued stochastic differential equations with Poisson jumps ⋮ Variational representations for continuous time processes ⋮ Functional inequalities for marked point processes ⋮ LARGE DEVIATIONS FOR INFINITE‐DIMENSIONAL STOCHASTIC SYSTEMS WITH JUMPS ⋮ Feynman-Kac formula under a finite entropy condition

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