Anticipating integrals and martingales on the Poisson space

DOI10.1515/rose.2007.021zbMath1199.60171arXivmath/0504244OpenAlexW2148777679MaRDI QIDQ5324846

Ciprian A. Tudor, Giovanni Peccati

Publication date: 8 August 2009

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0504244

zbMATH Keywords

Malliavin calculusPoisson processItô formulaSkorokhod integralBurkholder inequality

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Stochastic calculus with anticipating integrands
• Anticipating integrals for a class of martingales
• Chaotic Kabanov formula for the Azéma martingales
• Martingale-type stochastic calculus for anticipating integral processes
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• Martingale structure of Skorohod integral processes
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• On a Generalization of a Stochastic Integral
• On Extended Stochastic Intervals
• A chaos approach to the anticipating calculus for the poisson process
• The indefinite Skorohod integral as integrator on the Poisson space
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Orthogonal functionals of the Poisson process

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