Girsanov identities for Poisson measures under quasi-nilpotent transformations

DOI10.1214/10-AOP640zbMath1248.60056arXiv1205.5158MaRDI QIDQ428138

Nicolas Privault

Publication date: 19 June 2012

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

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

zbMATH Keywords

invariance; Stirling numbers; quasi-invariance; Skorohod integral; Girsanov identities; moment identities; Poisson measures; random transformations

Mathematics Subject Classification ID

11B73: Bell and Stirling numbers

28D05: Measure-preserving transformations

60H07: Stochastic calculus of variations and the Malliavin calculus

60G57: Random measures

28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)

60G30: Continuity and singularity of induced measures

Related Items

Laplace transform identities for the volume of stopping sets based on Poisson point processes, Mixing of Poisson random measures under interacting transformations

Cites Work

• Stochastic analysis in discrete and continuous settings. With normal martingales.
• Moment identities for Poisson-Skorohod integrals and application to measure invariance
• A distributional approach to multiple stochastic integrals and transformations of the Poisson measure
• Exponential polynomials, Stirling numbers, and evaluation of some gamma integrals
• Moment identities for Skorohod integrals on the Wiener space and applications
• When does the Ramer formula look like the Girsanov formula?
• Absolute continuity in infinite dimensions and anticipating stochastic calculus
• Generalized Poisson functionals
• On nonlinear transformations of Gaussian measures
• Some canonical sequences of integers
• Random rotations of the Wiener path
• Girsanov theorem for anticipative shifts on Poisson space
• Duality formulas on the Poisson space
• Invariance of Poisson measures under random transformations
• Orthogonal functionals of independent-increment processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Stochastic Integration with Jumps
• [https://portal.mardi4nfdi.de/wiki/Publication:5549427 Station�re zuf�llige Ma�e auf lokalkompakten Abelschen Gruppen]
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item