Chaotic and variational calculus in discrete and continuous time for the poisson process
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Publication:4885239
DOI10.1080/17442509408833946zbMath0851.60052OpenAlexW2002269089MaRDI QIDQ4885239
Publication date: 4 November 1996
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509408833946
Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (30)
Extended covariance identities and inequalities ⋮ Conditional Calculus on Poisson Space and Enlargement of Filtration ⋮ Partial mixing and Edgeworth expansion ⋮ Stein estimation of the intensity of a spatial homogeneous Poisson point process ⋮ De Rham–Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space ⋮ SPLITTING OF POISSON NOISE AND LÉVY PROCESSES ON REAL LIE ALGEBRAS ⋮ Girsanov theorem for anticipative shifts on Poisson space ⋮ Martingale Representation of Functionals of Lévy Processes ⋮ Anticipating integrals and martingales on the Poisson space ⋮ A different quantum stochastic calculus for the Poisson process ⋮ Enlargement of filtration on Poisson space: a Malliavin calculus approach ⋮ The Segal-Bargmann transform for Lévy functionals ⋮ Malliavin calculus for marked binomial processes and applications ⋮ Stein estimation of Poisson process intensities ⋮ An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications ⋮ Enlargement of Filtration in Discrete Time ⋮ Product of two multiple stochastic integrals with respect to a normal martingale ⋮ A Malliavin calculus approach to sensitivity analysis in insurance ⋮ Malliavin and Dirichlet structures for independent random variables ⋮ Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates ⋮ Integration by Parts for Point Processes and Monte Carlo Estimation ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ Sensitivity analysis and density estimation for finite-time ruin probabilities ⋮ Third cumulant Stein approximation for Poisson stochastic integrals ⋮ A calculus on Fock space and its probabilistic interpretations ⋮ Analysis of generalized Lévy white noise functionals ⋮ Regularization lemmas and convergence in total variation ⋮ Multiple stochastic integral expansions of arbitrary Poisson jump times functionals ⋮ Perturbation analysis and Malliavin calculus ⋮ Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
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