Moment identities for Poisson-Skorohod integrals and application to measure invariance

DOI10.1016/J.CRMA.2009.07.010MaRDI QIDQ841296zbMATH OpenOpenAlexFDO

Authors Nicolas Privault

Publication date 15 September 2009

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2009.07.010

zbMATH Keywords

induced measuresMalliavin calculusPoisson spaceSkorohod integral

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Review text

The author computes arbitrary integer powers of Skorohod integrals on a Poisson space. These moment identities are obtained using the Malliavin difference operator on the Poisson space. Since this operator does not satisfy the standard chain rule property, the proof of these moment identities are more complex than in the Gaussian setting. As an application, the author shows that the image of a random transformation satisfying condition (12) from a Poisson space \((X,\sigma)\) to another Poisson space \((Y,\mu)\) mapping \(\sigma\) to \(\mu\) preserves the Poisson structure. More precisely, it maps the Poisson distribution \(\Pi_\sigma\) on \((X,\sigma)\) with intensity \(\sigma\) to the Poisson measure \(\Pi_\mu\) on \((Y,\mu)\) with intensity \(\mu\). This extends the existing results where this property was proved only when the aforementioned transformation is deterministic.

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Cites work

• Duality formulas on the Poisson space
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• scientific article; zbMATH DE number 797357 (Why is no real title available?)
• Moment identities for Skorohod integrals on the Wiener space and applications
• Random rotations of the Wiener path
• Stochastic analysis in discrete and continuous settings. With normal martingales.

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• Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
• Invariance of Poisson measures under random transformations
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• Mixing of Poisson random measures under interacting transformations
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• Invariance of Poisson noise
• Factorial moments of point processes
• Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
• Girsanov identities for Poisson measures under quasi-nilpotent transformations
• Moments of Poisson stochastic integrals with random integrands
• Cardinality estimation for random stopping sets based on Poisson point processes
• Moments of Markovian growth–collapse processes
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• The multiple stochastic integrals and ``non-Poissonian transformations of the gamma measure
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