Differential calculus relative to some point processes

DOI10.1016/0167-7152(94)00177-AzbMATH Open0832.60063OpenAlexW2052715074MaRDI QIDQ1903166FDOQ1903166

Authors Azzouz Dermoune 

Publication date 11 January 1996

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

Full work available at URL https://doi.org/10.1016/0167-7152(94)00177-a

zbMATH Keywords

point processcompensatorPoisson spacestochastic calculus of variationsdifferential calculus on Wiener space

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• scientific article; zbMATH DE number 46016 (Why is no real title available?)
• Calcul des variations stochastique et processus de sauts
• Lectures on stochastic differential equations and Malliavin calculus
• Stochastic differential equations. An introduction with applications.

Cited In (3)

• A transfer principle from Wiener to Poisson space and applications
• Duality formulas on the Poisson space
• Mini-workshop: Stochastic analysis for Poisson point processes: Malliavin calculus, Wiener-Itô chaos expansions and stochastic geometry. Abstracts from the workshop held February 10--16, 2013.

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