Chaos representations for marked point processes

MaRDI QIDQ2787524zbMATH OpenFDO

Authors Samuel N. Cohen

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.0635

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: We show that for a large class of marked point processes there exists a random measure m with the predictable representation property such that iterated integrals with respect to m span the space of square integrable random variables.

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Cited in

(4)

• Chaotic representation for finite markov chains
• A note on chaotic and predictable representations for Itô-Markov additive processes
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
• What Happened to Discrete Chaos, the Quenouille Process, and the Sharp Markov Property? Some History of Stochastic Point Processes

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