The exponential space of an L^ 2-stochastic process with independent increments

DOI10.1016/0167-7152(88)90101-0MaRDI QIDQ1104636zbMATH OpenOpenAlexFDO

Authors Víctor Pérez-Abreu

Publication date 1988

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(88)90101-0

zbMATH Keywords

homogeneous chaosmultiple Poisson integralsPoisson random measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Random measures (60G57) Stochastic integrals (60H05) Markov processes (60J99)

Review text

An isometry of the exponential space (Fock space) associated with a Poisson random measure with \(\sigma\)-finite control measure to a specified subspace of \(L^ 2\) is constructed. The same result using multiple Poisson integrals was earlier proved by \textit{D. Surgailis} [Probab. Math. Stat. 3, 217-239 (1982; Zbl 0548.60058)]. The present proof exploits a discrete martingale technique. As a consequence of this result, an isometry of the exponential space associated with an \(L^ 2\)-stochastic process with independent increments to a specified subspace of \(L^ 2\) is also constructed.

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Cites work

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• Multiple Wiener integral
• The Malliavin calculus

Cited in

(3)

• On theL²-Theory of product stochastic measures and multiple wiener–ito integrals
• Fock factorizations, and decompositions of theL²spaces over general Lévy processes
• On Exponential Functionals of Processes with Independent Increments

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