Stochastic derivative of Poisson polynomial functionals and its application

MaRDI QIDQ3387410zbMATH OpenFDO

Authors V. Jaoshvili, O. Purtukhia, Zurab Zerakidze

Publication date 12 January 2021

Full work available at URL http://science.org.ge/bnas/t14-n1/04_Jaoshvili_Mathematics.pdf

zbMATH Keywords

Clark representationClark-Haussmann-Ocone representationPoisson functionalstochastic (Malliavin) derivative

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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• Stochastic integral representation of multidimensional polynomial Poisson functionals
• On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process

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