Perturbation analysis of Poisson processes

Abstract: We consider a Poisson process

P h i

on a general phase space. The expectation of a function of

P h i

can be considered as a functional of the intensity measure

l a m b d a

of

P h i

. Extending earlier results of Molchanov and Zuyev [Math. Oper. Res. 25 (2010) 485-508] on finite Poisson processes, we study the behaviour of this functional under signed (possibly infinite) perturbations of

l a m b d a

. In particular, we obtain general Margulis-Russo type formulas for the derivative with respect to non-linear transformations of the intensity measure depending on some parameter. As an application, we study the behaviour of expectations of functions of multivariate L'evy processes under perturbations of the L'evy measure. A key ingredient of our approach is the explicit Fock space representation obtained in Last and Penrose [Probab. Theory Related Fields 150 (2011) 663-690].

Review text

Let \(\Phi\) be a Poisson process on a measurable space \((\mathbb{X}, \mathcal{X})\). Denote by \(\Pi_{\lambda}\) the distribution of a Poisson process with intensity measure \(\lambda\) (\(\lambda\) is a \(\sigma\)-finite measure on \((\mathbb{X}, \mathcal{X})\)). Let \(f(\Phi)\) be some measurable function of \(\Phi\). Under certain assumptions on \(f\), the authors of [\textit{I. Molchanov} and \textit{S. Zuyev}, Math. Oper. Res. 25, No. 3, 485--508 (2000; Zbl 1018.49022)] derived a variational formula for the finite measure \(\lambda\). In the present paper, the author extends the variational formula to the \(\sigma\)-finite measure \(\lambda\). The extension of the identity from finite to \(\sigma\)-finite measures is a non-trivial task. The approach is based on the recent Fock space representation in [\textit{G. Last} and \textit{M. D. Penrose}, Probab. Theory Relat. Fields 150, No. 3--4, 663--690 (2011; Zbl 1233.60026)]. The paper is organized as follows. In Section 2, the author introduces some basic notation and recalls facts about the Fock space representation and likelihood functions of Poisson processes. Section 3 uses an elementary but illustrative argument to prove a simple version of the variational formula from [Molchanov and Zuyev, loc. cit.]. In Section 4, the author proves the main result of the paper. Section 5 derives conditions on \(\lambda\) that are necessary for the variational identity to hold for all bounded functions \(f\). In some cases, these conditions are also sufficient. Section 6 gives general Margulis-Russo-type formulas for derivatives. The final Section 7 treats perturbations of the Lévy measure of a Lévy process in \({\mathbb{R}}^d\).

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