A chaos approach to the anticipating calculus for the poisson process (Q4385258)
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scientific article; zbMATH DE number 1140256
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| English | A chaos approach to the anticipating calculus for the poisson process |
scientific article; zbMATH DE number 1140256 |
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A chaos approach to the anticipating calculus for the poisson process (English)
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18 January 1999
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Poisson-Itô chaos decomposition
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gradient operator
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chaos divergence
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0.8088278770446777
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The authors, using the Poisson-Itô chaos decomposition, define the chaos derivative operator and its adjoint, which is a chaos anticipating integral (chaos divergence) with respect to the compensated Poisson process. The characterizations of these operators are given. It is also studied the form of these operators in the case where the basic probability space is the canonical Poisson space. The authors show that in this case the derivative operator is equal to the Carlen-Pardoux gradient operator.
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