Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure (Q633146)

This paper unifies and generalises several previous papers by the same author. It gives sufficient conditions for the absolute continuity of the law of random variables defined on a Poisson space. Several techniques are already known for this question, and the technique used in this paper relies on a differential calculus based on stretching (or contracting) time. Absolute continuity is proved under the assumption of non-degeneracy for some matrix, as in the classical Malliavin's calculus, but the method is different; it is based on a version of Yu.~Davydov's stratification method. The smoothness of the density cannot be studied with this technique, but, on the other hand, one can study the convergence in variation of the laws of a sequence of variables. Applications to solutions of stochastic differential equations with jumps are given. One can consider, in particular, equations with non constant jump rate; this is a problem which is not easily tackled with other methods. Thus, the technique which is worked out here should be useful in many cases.