Chaotic and variational calculus in discrete and continuous time for the poisson process
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DOI10.1080/17442509408833946zbMATH Open0851.60052OpenAlexW2002269089MaRDI QIDQ4885239FDOQ4885239
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
Recommendations
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
Cited In (34)
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- SPLITTING OF POISSON NOISE AND LÉVY PROCESSES ON REAL LIE ALGEBRAS
- Anticipating integrals and martingales on the Poisson space
- De Rham–Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
- A discrete-time Clark-Ocone formula for Poisson functionals
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- A Malliavin calculus approach to sensitivity analysis in insurance
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- Enlargement of Filtration in Discrete Time
- Stein estimation of the intensity of a spatial homogeneous Poisson point process
- Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
- Malliavin calculus for marked binomial processes and applications
- Partial mixing and Edgeworth expansion
- Perturbation analysis and Malliavin calculus
- Analysis of generalized Lévy white noise functionals
- Stein estimation of Poisson process intensities
- Title not available (Why is that?)
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- Malliavin and Dirichlet structures for independent random variables
- 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
- Martingale Representation of Functionals of Lévy Processes
- Regularization lemmas and convergence in total variation
- 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
- Enlargement of filtration on Poisson space: a Malliavin calculus approach
- Integration by Parts for Point Processes and Monte Carlo Estimation
- Third cumulant Stein approximation for Poisson stochastic integrals
- Sensitivity analysis and density estimation for finite-time ruin probabilities
- A different quantum stochastic calculus for the Poisson process
- The Segal-Bargmann transform for Lévy functionals
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