Girsanov identities for Poisson measures under quasi-nilpotent transformations

DOI10.1214/10-AOP640zbMATH Open1248.60056arXiv1205.5158MaRDI QIDQ428138FDOQ428138

Authors: Nicolas Privault 

Publication date: 19 June 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We prove a Girsanov identity on the Poisson space for anticipating transformations that satisfy a strong quasi-nilpotence condition. Applications are given to the Girsanov theorem and to the invariance of Poisson measures under random transformations. The proofs use combinatorial identities for the central moments of Poisson stochastic integrals.

Full work available at URL: https://arxiv.org/abs/1205.5158

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zbMATH Keywords

invarianceStirling numbersquasi-invarianceSkorohod integralGirsanov identitiesmoment identitiesPoisson measuresrandom transformations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Bell and Stirling numbers (11B73) Random measures (60G57) Measure-preserving transformations (28D05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Continuity and singularity of induced measures (60G30)

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