Anticipative calculus with respect to filtered Poisson processes.

DOI10.1016/J.ANIHPB.2005.03.005MaRDI QIDQ2490802zbMATH OpenOpenAlexFDO

Authors Laurent Decreusefond, Nicolas Savy

Publication date 18 May 2006

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0302046, http://www.numdam.org/item?id=AIHPB_2006__42_3_343_0, http://www.numdam.org/item?id=AIHPB_2006__42_3_343_0/, https://eudml.org/doc/77899

zbMATH Keywords

Malliavin calculusshot-noise processstochastic integral

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Shot-noise and fractional Poisson processes are instances of filtered Poisson processes. We here prove Girsanov theorem for this kind of processes and give an application to an estimate problem.

Review text

This article develops a stochastic (Malliavin) calculus for so-called filtered Poisson processes, that is, processes having the form \(N_t^k: =\int^t_0 \int_{\mathbb{R}^d}zK(t,s)w(ds,dz)\), where \(K\) is a deterministic kernel, and \(w\) is a marked Poisson measure. Thus there are constructed, beginning by the more or less classical case of Poisson space (when \(K \equiv 1)\), successively: a closed gradient, a divergence (or Skorokhod anticipative integral, for which the sample-paths regularity is studied), and a covariant derivative. A Weitzenböck formula and an Itô formula are established.

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Cited in

(16)

• Stochastic calculus for convoluted Lévy processes
• Differential calculus relative to some point processes
• Transformations and anticipative equations for Poisson processes
• A generalised Itō formula for Lévy-driven Volterra processes
• Fractional Lévy processes with an application to long memory moving average processes
• Local Malliavin calculus for Lévy processes and applications
• Functionals of a Lévy process on canonical and generic probability spaces
• Maximal inequalities for fractional Lévy and related processes
• scientific article; zbMATH DE number 4149279 (Why is no real title available?)
• Conditional Calculus on Poisson Space and Enlargement of Filtration
• Efficient and superefficient estimators of filtered Poisson process intensities
• Enlargement of filtration on Poisson space: a Malliavin calculus approach
• Anticipating integrals and martingales on the Poisson space
• Stochastic differential equations—some new ideas
• On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process
• Quasi-invariance and integration by parts for determinantal and permanental processes

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