Girsanov theorem for anticipative shifts on Poisson space

DOI10.1007/BF01303803MaRDI QIDQ1908539zbMATH OpenFDO

Authors Nicolas Privault

Publication date 27 May 1996

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

Radon-Nikodym densityabsolute continuity of the image measure of the canonical Poisson probability measure under nonlinear shifts

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuity and singularity of induced measures (60G30)

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Cites work

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• Integration and Nonlinear Transformations In Hilbert Space
• Linear Skorohod stochastic differential equations
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
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• Transformation of Wiener measure under anticipative flows
• Transformation of the Wiener measure under non-invertible shifts

Cited in

(7)

• Quasi-invariance of Poisson distributions with respect to transformations of configurations
• Girsanov identities for Poisson measures under quasi-nilpotent transformations
• A distributional approach to multiple stochastic integrals and transformations of the Poisson measure
• Anticipative Markovian transformations on the Poisson space.
• On anticipative Girsanov transformations for Lévy processes
• A distributional approach to multiple stochastic integrals and transformations of the Poisson measure. II
• Invariance of Poisson measures under random transformations

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