Invertibility of functionals of the Poisson process and applications
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Cites work
- A cluster process representation of a self-exciting process
- A variational representation for certain functionals of Brownian motion
- An Introduction to the Theory of Point Processes
- Calcul stochastique et problèmes de martingales
- Change of time and change of measure
- Clark-Ocone formula and variational representation for Poisson functionals
- Diffusion equations and geometric inequalities
- Entropy, invertibility and variational calculus of adapted shifts on Wiener space
- Hawkes processes on large networks
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 2208228 (Why is no real title available?)
- scientific article; zbMATH DE number 3336416 (Why is no real title available?)
- Multidimensional diffusion processes.
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Mutual Information, Relative Entropy, and Estimation in the Poisson Channel
- Perturbation analysis and Malliavin calculus
- Representation formula for the entropy and functional inequalities
- Stability of nonlinear Hawkes processes
- Sufficiency and Jensen's inequality for conditional expectations
- The Malliavin calculus for pure jump processes and applications to local time
- Upper bounds on rubinstein distances on configuration spaces and applications
- Variational calculation of Laplace transforms via entropy on Wiener space and applications
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