Stochastic integral representation of functionals of Poisson processes
zbMATH Open1159.60023MaRDI QIDQ3605607FDOQ3605607
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Publication date: 24 February 2009
Full work available at URL: http://www.rmi.ge/proceedings/volumes/pdf/v143-3.pdf
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Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05)
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