Stochastic Analysis for Poisson Processes

DOI10.1007/978-3-319-05233-5_1MaRDI QIDQ6089024zbMATH OpenOpenAlexFDO

Authors Günter Last

Publication date 17 November 2023

Published in Stochastic Analysis for Poisson Point Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.4416

zbMATH Keywords

point processPoisson processbinomial processGlauber dynamiccovariance identity

Mathematics Subject Classification ID

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

Abstract: This survey is a preliminary version of a chapter of the forthcoming book "Stochastic Analysis for Poisson Point Processes: Malliavin Calculus, Wiener-It^o Chaos Expansions and Stochastic Geometry" edited by Giovanni Peccati and Matthias Reitzner. The paper develops some basic theory for the stochastic analysis of Poisson process on a general $sigma$-finite measure space. After giving some fundamental definitions and properties (as the multivariate Mecke equation) the paper presents the Fock space representation of square-integrable functions of a Poisson process in terms of iterated difference operators. This is followed by the introduction of multivariate stochastic Wiener-It^o integrals and the discussion of their basic properties. The paper then proceeds with proving the chaos expansion of square-integrable Poisson functionals, and defining and discussing Malliavin operators. Further topics are products of Wiener-It^o integrals and Mehler's formula for the inverse of the Ornstein-Uhlenbeck generator based on a dynamic thinning procedure. The survey concludes with covariance identities, the Poincar'e inequality and the FKG-inequality.

Recommendations

• Poisson process Fock space representation, chaos expansion and covariance inequalities
• scientific article; zbMATH DE number 5777955
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Cited in

(43)

• Quantitative CLTs on the Poisson space via Skorohod estimates and p-Poincaré inequalities
• U-Statistics in Stochastic Geometry
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