Error calculus and regularity of Poisson functionals: The lent particle method

DOI10.1016/J.CRMA.2008.05.020MaRDI QIDQ935363zbMATH OpenOpenAlexFDO

Authors Nicolas Bouleau

Publication date 6 August 2008

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.0382

zbMATH Keywords

Dirichlet formsabsolute continuityPoisson spaceenergy image density property

Mathematics Subject Classification ID

Random measures (60G57) Dirichlet forms (31C25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We propose a new method to apply the Lipschitz functional calculus of local Dirichlet forms to Poisson random measures.

Recommendations

• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• scientific article; zbMATH DE number 4122983
• The lent particle method, application to multiple Poisson integrals
• The Lent Particle Method for Marked Point Processes
• Dirichlet forms methods for Poisson point measures and Lévy processes. With emphasis on the creation-annihilation techniques

Cites work

• scientific article; zbMATH DE number 4149279 (Why is no real title available?)
• A criterion of density for solutions of Poisson-driven SDEs
• A pointwise equivalence of gradients on configuration spaces
• Analysis and geometry on configuration spaces
• Canonical Lévy process and Malliavin calculus
• Construction of diffusions on configuration spaces
• Dirichlet forms and analysis on Wiener space
• Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
• On the existence of smooth densities for jump processes

Cited in

(6)

• Iteration of the lent particle method for existence of smooth densities of Poisson functionals
• The Lent Particle Method for Marked Point Processes
• Error estimate of the particle method for the \(b\)-equation
• Application of the lent particle method to Poisson-driven SDEs
• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• Energy image density property and the lent particle method for Poisson measures

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