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

absolute continuityDirichlet formsenergy image density propertyPoisson space

Mathematics Subject Classification ID

Dirichlet forms (31C25) Random measures (60G57) 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.

Review text

Let \((X, \nu)\) be a \(\sigma\)-finite measure space equipped with a local Dirichlet structure. This note is concerned with the construction and properties of Dirichlet forms on the space of countable configurations over \(X\), under the Poisson measure with intensity \(\nu\). An application to the absolute continuity of the stochastic integral \(\int_0^t \varphi ( Y_{s^-}) dY_s\), where \((Y_t)_{t\in {\mathbb R}_+}\) is a Lévy process, is given via the energy image density property.

Recommendations

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Cites work

• 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
• scientific article; zbMATH DE number 4149279 (Why is no real title available?)
• 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
• Energy image density property and the lent particle method for Poisson measures
• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• 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

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