Girsanov identities for Poisson measures under quasi-nilpotent transformations
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Publication:428138
invarianceStirling numbersquasi-invarianceSkorohod integralGirsanov identitiesmoment identitiesPoisson measuresrandom transformations
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)
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.
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Cited in
(6)- Combinatorics of Poisson Stochastic Integrals with Random Integrands
- Mixing of Poisson random measures under interacting transformations
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