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

DOI10.1016/J.JFA.2009.03.004zbMATH Open1174.60023arXiv0807.1963OpenAlexW2963831068MaRDI QIDQ2391272FDOQ2391272

Authors: Nicolas Bouleau, Laurent Denis 

Publication date: 24 July 2009

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

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.

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

Recommendations

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• Error calculus and regularity of Poisson functionals: The lent particle method

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)

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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
• Local Malliavin calculus for Lévy processes and applications
• The Lent Particle Method for Marked Point Processes
• FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE 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
• Dirichlet Forms and Finite Element Methods for the SABR Model
• Application of the lent particle method to Poisson-driven SDEs

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