Stochastic integral representation of two-dimensional Poisson functionals

MaRDI QIDQ3400823zbMATH OpenFDO

Authors

Publication date 5 February 2010

zbMATH Keywords

compensated Poisson processOcone-Hausmann-Clark's formulapredictable projectionstochastic derivative

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(9)

• Integration by parts for Poisson processes
• Distribution functions of Poisson random integrals: analysis and computation
• scientific article; zbMATH DE number 4199186 (Why is no real title available?)
• Stochastic derivative of Poisson polynomial functionals and its application
• An extension of the Ocone-Haussmann-Clark formula for the compensated Poisson processes
• Stochastic integral representation of functionals of Poisson processes
• Stochastic integral representation of multidimensional polynomial Poisson functionals
• A representation formula for poisson functionals
• The Wills functional for Poisson processes

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