Perturbation analysis of Poisson processes

DOI10.3150/12-BEJ494zbMATH Open1303.60039arXiv1203.3181MaRDI QIDQ2448701FDOQ2448701

Authors: Günter Last 

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider a Poisson process $Phi$ on a general phase space. The expectation of a function of $Phi$ can be considered as a functional of the intensity measure $lambda$ of $Phi$. Extending earlier results of Molchanov and Zuyev [Math. Oper. Res. 25 (2010) 485-508] on finite Poisson processes, we study the behaviour of this functional under signed (possibly infinite) perturbations of $lambda$. In particular, we obtain general Margulis-Russo type formulas for the derivative with respect to non-linear transformations of the intensity measure depending on some parameter. As an application, we study the behaviour of expectations of functions of multivariate L'evy processes under perturbations of the L'evy measure. A key ingredient of our approach is the explicit Fock space representation obtained in Last and Penrose [Probab. Theory Related Fields 150 (2011) 663-690].

Full work available at URL: https://arxiv.org/abs/1203.3181

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]Poisson processFock space representationperturbationvariational calculusMargulis-Russo-type formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cited In (14)

• Perturbation analysis of functionals of random measures
• Decorrelation of a class of Gibbs particle processes and asymptotic properties of \(U\)-statistics
• Normal approximation of Poisson functionals in Kolmogorov distance
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Title not available (Why is that?)
• On the Ornstein-Zernike equation for stationary cluster processes and the random connection model
• Subcritical sharpness for fractal Boolean percolation
• Poisson perturbations
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• Variational analysis of functionals of Poisson processes
• Sharpness of the phase transition and lower bounds for the critical intensity in continuum percolation on \(\mathbb{R}^{d}\)
• Variational Analysis of Poisson Processes
• Nonparametric estimation for compound Poisson process via variational analysis on measures
• Analysis of Experimental Poisson Data

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