A non-compensated Clark-Ocone formula for functionals of counting processes

DOI10.1051/PS/2025003MaRDI QIDQ6960464zbMATH OpenFDO

Authors Caroline Hillairet, Thomas Peyrat, Anthony Réveillac

Publication date 14 July 2025

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/PS/2025003

zbMATH Keywords

Clark-Ocone formulaHawkes processesMalliavin calculusPoisson imbedding representation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites work

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• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• On the chaotic expansion for counting processes
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Stability of nonlinear Hawkes processes
• Stochastic Analysis for Poisson Processes
• Stochastic analysis in discrete and continuous settings. With normal martingales.

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