Integration by parts for Poisson processes

DOI10.1006/JMVA.1993.1010zbMath0768.60052OpenAlexW2087577161MaRDI QIDQ1209876

Allanus H. Tsoi, Robert J. Elliott

Publication date: 16 May 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1993.1010

zbMATH Keywords

Poisson processintegration by partsintegral representation of martingales

Mathematics Subject Classification ID

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

Related Items (18)

Extended covariance identities and inequalities ⋮ Stein estimation of the intensity of a spatial homogeneous Poisson point process ⋮ SPLITTING OF POISSON NOISE AND LÉVY PROCESSES ON REAL LIE ALGEBRAS ⋮ A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\) ⋮ Wick calculus on spaces of generalized functions of compound Poisson white noise ⋮ Reciprocal Processes: A Stochastic Analysis Approach ⋮ Stein estimation of Poisson process intensities ⋮ Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces ⋮ Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates ⋮ Integration by Parts for Point Processes and Monte Carlo Estimation ⋮ Connections and curvature in the Riemannian geometry of configuration spaces ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ Third cumulant Stein approximation for Poisson stochastic integrals ⋮ GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES ⋮ Differentiable measures and the Malliavin calculus ⋮ Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals

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