Integration by parts for Poisson processes (Q1209876)
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scientific article; zbMATH DE number 168710
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| English | Integration by parts for Poisson processes |
scientific article; zbMATH DE number 168710 |
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Integration by parts for Poisson processes (English)
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16 May 1993
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An integration by parts formula is proved for functionals of a standard Poisson process; it is obtained by means of perturbations on the intensity rate of the Poisson process and by applying a Girsanov formula. This also enables the computation of the integrand in the integral representation of martingales for the Poisson process filtration.
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integration by parts
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integral representation of martingales
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Poisson process
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0.8185380697250366
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0.816799521446228
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0.7865833640098572
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