A distributional approach to multiple stochastic integrals and transformations of the Poisson measure (Q851998)

The authors study a class of `nonpoissonian' transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures they find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon-Nikodym derivative. To solve this problem they use a distributional approach to Poisson multiple stochastic integrals. Nonpoissonian transformations of the Poisson processes have been studied by Privault and coworkers [see e.g., \textit{U. Franz} and \textit{N. Privault}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 7, No.~1, 131--145 (2004; Zbl 1056.81052)]. Privault's results correspond to the techniques developed by Ramer, Kusuoka and Zakai for the Wiener case. For the Poisson process, Privault used a probability space of the form of a countable product of the exponential distribution and the product of countably many copies of Lebesgue measure on [0,1]. The authors develop the analysis on the space of configurations. It is known that the space of configurations can be considered as an infinite-dimensional manifold [\textit{S. Albeverio, Yu. Kondratiev} and \textit{M. Röckner}, J. Funct. Anal. 154, No.~2, 444--500 (1998; Zbl 0914.58028)]. It can also be considered as a suitable probability space for interesting random processes [\textit{S. Albeverio, Yu. Kondratiev} and \textit{M. Röckner}, ibid. 157, No.~1, 242--291 (1998; Zbl 0931.58019)].