Functional inequalities for marked point processes

DOI10.1214/19-EJP369MaRDI QIDQ2279309zbMATH OpenFDO

Authors Ian Flint, Nicolas Privault, Giovanni Luca Torrisi

Publication date 12 December 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.06456, https://projecteuclid.org/euclid.ejp/1570759241

zbMATH Keywords

Clark-Ocone formulaMalliavin calculusPoincaré inequalitytransportation cost inequalitiesvariational representation

Mathematics Subject Classification ID

Integral geometry (53C65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: In recent years, a number of functional inequalities have been derived for Poisson random measures, with a wide range of applications. In this paper, we prove that such inequalities can be extended to the setting of marked temporal point processes, under mild assumptions on their Papangelou conditional intensity. First, we derive a Poincar'e inequality. Second, we prove two transportation cost inequalities. The first one refers to functionals of marked point processes with a Papangelou conditional intensity and is new even in the setting of Poisson random measures. The second one refers to the law of marked temporal point processes with a Papangelou conditional intensity, and extends a related inequality which is known to hold on a general Poisson space. Finally, we provide a variational representation of the Laplace transform of functionals of marked point processes with a Papangelou conditional intensity. The proofs make use of an extension of the Clark-Ocone formula to marked temporal point processes. Our results are shown to apply to classes of renewal, nonlinear Hawkes and Cox point processes.

Review text

Let \(E\) be a complete separable metric space and \(\mathcal E\) the corresponding Borel \(\sigma\)-field. Roughly speaking, the Papangelou intensity \(\pi_x(\omega)\) of a point process has the following interpretation: \(\pi_x(\omega)\, \sigma(dx)\), \(x\in S\) (\(S\) is a suitable state space), is the conditional probability of having a particle in the infinitesimal region \(dx\), when the configuration \(\omega\) is given outside \(dx\). This paper provides several functional inequalities for marked temporal point processes having a Papangelou conditional intensity, with times in \(\mathbb R_+\) and marks in \(E\). The main results of the paper are (a) a Poincarè inequality for square-integrable functionals of marked point processes with a Papangelou conditional intensity (Theorem 3.1); (b) transportation cost inequalities for the law of functionals of marked point processes with a Papangelou conditional intensity (Theorem 3.12) and for the law of the marked point process itself (Theorem 3.20); (c) a variational representation of the Laplace transform of functionals, bounded from above, of marked point processes with a Papangelou conditional intensity (Theorem 3.26). A key ingredient in the proofs is a new Clark-Ocone formula for square-integrable functionals of marked point processes with a Papangelou conditional intensity (Theorem 3.28), which generalizes the corresponding formula in [the first and third authors, Ann. Probab. 45, No. 5, 3266--3292 (2017; Zbl 1412.60070)] in two directions. The paper is organized as follows: Section 2 gives some preliminaries on point processes including the notions of Papangelou conditional intensity, classical stochastic intensity and an important relation between them. In Section 3, the authors describe the main results and give their proofs in Section 4.

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Cited in

(10)

• A note on expansion for functionals of spatial marked point processes
• A Clark-Ocone formula for temporal point processes and applications
• A concentration inequality for inhomogeneous Neyman-Scott point processes
• Transport inequalities for random point measures
• Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps
• Existence of mark functions in marked metric measure spaces
• Malliavin calculus for marked binomial processes and applications
• Qualitative and asymptotic properties of stochastic integrals related to random marked point processes
• A Remark on the Van Lieshout and Baddeley J-Function for Point Processes
• Stochastic comparison of point random fields

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