Combinatorics of Poisson Stochastic Integrals with Random Integrands

DOI10.1007/978-3-319-05233-5_2MaRDI QIDQ6089025zbMATH OpenFDO

Authors Nicolas Privault

Publication date 17 November 2023

Published in Stochastic Analysis for Poisson Point Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-05233-5_2

zbMATH Keywords

Charlier polynomialsmoment identitiesPoisson probability measurePoisson stochastic integralsrandom integrands

Mathematics Subject Classification ID

Random measures (60G57) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

• Applications of Faa Di Bruno's Formula in Mathematical Statistics
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• Exponential polynomials, Stirling numbers, and evaluation of some gamma integrals
• Factorial moments of point processes
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• Generalized Poisson functionals
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• Moments of Wiener integrals for subordinators
• Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes
• On a Method of Calculation of Semi-Invariants
• Poisson process Fock space representation, chaos expansion and covariance inequalities
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Cited in

(10)

• Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions
• Dyson type formula for pure jump Lévy processes with some applications to finance
• Berezin integrals and Poisson processes
• Moments of Markovian growth–collapse processes
• Product and moment formulas for iterated stochastic integrals (associated with Lévy processes)
• Moments of k-hop counts in the random-connection model
• Stochastic Analysis for Poisson Processes
• Asymptotic analysis of k-hop connectivity in the 1D unit disk random graph model
• Product formulas for multiple stochastic integrals associated with Lévy processes
• Stationary solutions of damped stochastic 2-dimensional Euler's equation

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