The Lent Particle Method for Marked Point Processes

DOI10.1007/978-3-642-15217-7_14MaRDI QIDQ3086806zbMATH OpenOpenAlexFDO

Authors Nicolas Bouleau

Publication date 30 March 2011

Published in Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.6387

zbMATH Keywords

Dirichlet formenergy image density propertyisotropic processeslent particle methodLévy processMalliavin calculusmarked point processesOrnstein-Uhlenbeck formPoisson random measureWiener space

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Stochastic calculus of variations and the Malliavin calculus (60H07) Probabilistic potential theory (60J45)

Abstract: Although introduced in the case of Poisson random measures, the lent particle method applies as well in other situations. We study here the case of marked point processes. In this case the Malliavin calculus (here in the sense of Dirichlet forms) operates on the marks and the point process doesn't need to be Poisson. The proof of the method is even much simpler than in the case of Poisson random measures. We give applications to isotropic processes and to processes whose jumps are modified by independent diffusions.

Recommendations

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• LÉVY–DIRICHLET FORMS
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Cites work

• Absolute continuity of multivariate distributions of class L
• Admissible vectors and their associated Dirichlet forms
• Application of the lent particle method to Poisson-driven SDEs
• Dirichlet forms and analysis on Wiener space
• Energy image density property and the lent particle method for Poisson measures
• Forme de Dirichlet sur l'espace canonique de Poisson et applications aux équations différentielles stochastiques. (Dirichlet form on the canonical Poisson space and applications to stochastic differential equations)
• Formes de Dirichlet générales et densité des variables aléatoires réelles sur l'espace de Wiener. (General Dirichlet forms and density of real random variables on Wiener space)
• scientific article; zbMATH DE number 3932143 (Why is no real title available?)

Cited in

(5)

• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• Dirichlet forms methods for Poisson point measures and Lévy processes. With emphasis on the creation-annihilation techniques
• The lent particle method, application to multiple Poisson integrals
• Application of the lent particle method to Poisson-driven SDEs
• Error calculus and regularity of Poisson functionals: The lent particle method

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