Integration by parts for Poisson processes

DOI10.1006/JMVA.1993.1010zbMATH Open0768.60052OpenAlexW2087577161MaRDI QIDQ1209876FDOQ1209876

Authors: Robert J. Elliott, Allanus H. Tsoi 

Publication date: 16 May 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1993.1010

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zbMATH Keywords

Poisson processintegration by partsintegral representation of martingales

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cited In (26)

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• Wick calculus on spaces of generalized functions of compound Poisson white noise
• Integration by parts formulas for marked Hawkes processes
• SPLITTING OF POISSON NOISE AND LÉVY PROCESSES ON REAL LIE ALGEBRAS
• Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
• A discrete-time Clark-Ocone formula for Poisson functionals
• Stein estimation of the intensity of a spatial homogeneous Poisson point process
• Differentiable measures and the Malliavin calculus
• Integration by parts for two–parameter single jump process
• Stein estimation of Poisson process intensities
• Stochastic integral representation of two-dimensional Poisson functionals
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
• Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure
• A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)
• Extended covariance identities and inequalities
• Integration by parts for the single jump process
• Integration by parts and martingale representation for a Markov chain
• Integration by parts formula for killed processes: a point of view from approximation theory
• Reciprocal processes: a stochastic analysis approach
• Connections and curvature in the Riemannian geometry of configuration spaces
• Stochastic integral representation of multidimensional polynomial Poisson functionals
• Integration by Parts for Point Processes and Monte Carlo Estimation
• Third cumulant Stein approximation for Poisson stochastic integrals
• An integration by parts type formula for stopping times and its application
• Title not available (Why is that?)
• Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals

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