Invertibility of functionals of the Poisson process and applications
The simplest nonlinear stochastic differential equations (SDEs) are those of the form: \(d\xi(t) = \dot{u}(\xi(t))\, dt + dB(t)\), \(\xi(0)=0\), or in equivalent form \(\xi(t) = \int_0^t\dot{u}(\xi(s))\, ds + B(t)\), where \(B(t)\) is a standard Brownian motion. An equation in which the coefficient in front of \(B(t)\) is equal to 1 is called volatility-1 Brownian stochastic differential equation. Denote by \(\mathcal{C}\) the space of continuous functions over \([0, 1]\), null at time 0, equipped with the Wiener measure \(\mu\). Let \(\mathcal{D}\) be the Skorohod space of right continuous functions with left limits, equipped with the Poisson measure \(\pi\), that is, the law of a unit rate Poisson process on \(\mathbb{R}^+\). A measure \(\nu\) on \(\mathcal{C}\) is absolutely continuous with respect to \(\mu\) if there exists an adapted process \(u\) in the Cameron-Martin space such that \(B - u\) is a \(\nu\)-local martingale. The authors show that solving SDEs with constant volatility on the Wiener space is the analogue of constructing Hawkes-like processes, that is, self-excited point processes, on the Poisson space. Actually, both problems are linked to the invertibility of some transformations on the sample paths, which respect absolute continuity: adding an adapted drift for the Wiener space, making a random time change for the Poisson space. \N\NThe paper is organized as follows: Section 2 considers random time changes and describes their action on stochastic integrals. The authors establish the quasi-invariance theorem and compute the Radon-Nikodym density of the push-forward of the Poisson measure by a random time change. Section 3 combines these results to obtain the entropic criterion, which guarantees the invertibility. The authors take profit of the robustness of the entropic criterion with respect to the limit procedure to obtain a variational representation of the entropy in Section 4. The notions of weak, strong and martingale \(g\)-Hawkes problems are introduced in Section 5 and the Yamada-Watanabe theorem for the \(g\)-Hawkes problem is proved.
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