Anticipative calculus with respect to filtered Poisson processes.

DOI10.1016/j.anihpb.2005.03.005zbMath1095.60016arXivmath/0302046OpenAlexW2010092927MaRDI QIDQ2490802

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

zbMATH Keywords

Malliavin calculusstochastic integralshot-noise process

Mathematics Subject Classification ID

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

Related Items (9)

Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Functionals of a Lévy process on canonical and generic probability spaces ⋮ Fractional Lévy processes with an application to long memory moving average processes ⋮ Efficient and superefficient estimators of filtered Poisson process intensities ⋮ Stochastic differential equations—some new ideas ⋮ Quasi-invariance and integration by parts for determinantal and permanental processes ⋮ Stochastic calculus for convoluted Lévy processes ⋮ Local Malliavin calculus for Lévy processes and applications ⋮ A generalised Itō formula for Lévy-driven Volterra processes

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