Chaotic and variational calculus in discrete and continuous time for the poisson process

DOI10.1080/17442509408833946MaRDI QIDQ4885239zbMATH OpenOpenAlexFDO

Authors Nicolas Privault

Publication date 4 November 1996

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833946

zbMATH Keywords

Poisson processstochastic calculus of variationschaotic decompositions

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07)

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• Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
• Perturbation analysis and Malliavin calculus
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• Girsanov theorem for anticipative shifts on Poisson space
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
• Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
• Regularization lemmas and convergence in total variation
• Martingale Representation of Functionals of Lévy Processes
• Product of two multiple stochastic integrals with respect to a normal martingale
• Extended covariance identities and inequalities
• A calculus on Fock space and its probabilistic interpretations
• Conditional Calculus on Poisson Space and Enlargement of Filtration
• On calculation of moments of the solutions to one class of linear Skorohod SDE on Poisson space
• An alternative approach to Privault's discrete-time chaotic calculus
• Enlargement of filtration on Poisson space: a Malliavin calculus approach
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• Integration by Parts for Point Processes and Monte Carlo Estimation
• A different quantum stochastic calculus for the Poisson process
• The Segal-Bargmann transform for Lévy functionals

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