Energy image density property and the lent particle method for Poisson measures

DOI10.1016/J.JFA.2009.03.004MaRDI QIDQ2391272zbMATH OpenOpenAlexFDO

Authors Nicolas Bouleau, Laurent Denis

Publication date 24 July 2009

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0807.1963

zbMATH Keywords

Dirichlet formsgradientenergy image densityPoisson functionalsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57)

Abstract: We introduce a new approach to absolute continuity of laws of Poisson functionals. It is based on the {it energy image density} property for Dirichlet forms and on what we call {it the lent particle method} which consists in adding a particle and taking it back after some calculation.

Recommendations

• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• The lent particle method, application to multiple Poisson integrals
• Iteration of the lent particle method for existence of smooth densities of Poisson functionals
• Application of the lent particle method to Poisson-driven SDEs
• Error calculus and regularity of Poisson functionals: The lent particle method

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Cited in

(14)

• Regularity of the law of stochastic differential equations with jumps under Hörmander's conditions: the lent particle method
• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• Iteration of the lent particle method for existence of smooth densities of Poisson functionals
• Derivative formulae for stochastic differential equations driven by Poisson random measures
• On the law of the supremum of Lévy processes
• Functional analytic (ir-)regularity properties of SABR-type processes
• Dirichlet forms and finite element methods for the SABR model
• Local Malliavin calculus for Lévy processes and applications
• The Lent Particle Method for Marked Point Processes
• Joint density of the stable process and its supremum: regularity and upper bounds
• Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition
• Quasi-invariance and integration by parts for determinantal and permanental processes
• Existence and smoothness of the densities of stochastic functional differential equations with jumps
• Application of the lent particle method to Poisson-driven SDEs

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