The lent particle method, application to multiple Poisson integrals

MaRDI QIDQ4581150zbMATH OpenFDO

Authors Nicolas Bouleau

Publication date 23 August 2018

Full work available at URL https://arxiv.org/abs/1004.2819, http://bulletin.math.uoc.gr/vol/57/57-47-81.pdf

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Stochastic integrals (60H05) Probabilistic potential theory (60J45)

Abstract: We give a extensive account of a recent new way of applying the Dirichlet form theory to random Poisson measures. The main application is to obtain existence of density for thelaws of random functionals of L'evy processes or solutions of stochastic differential equations with jumps. As in the Wiener case the Dirichlet form approach weakens significantly theregularity assumptions. The main novelty is an explicit formula for the gradient or for the "carr'e du champ' on the Poisson space called the lent particle formula because based on adding a new particle to the system, computing the derivative of the functional with respect to this new argument and taking back this particle before applying the Poisson measure. The article is expository in its first part and based on Bouleau-Denis [12] with several new examples, applications to multiple Poisson integrals are gathered in the last part which concerns the relation with the Fock space and some aspects of the second quantization.

Recommendations

• 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
• Application of the lent particle method to Poisson-driven SDEs
• The Lent Particle Method for Marked Point Processes
• Iteration of the lent particle method for existence of smooth densities of Poisson functionals

Cited in

(8)

• On the small time large deviations of diffusion processes on configuration spaces.
• Iteration of the lent particle method for existence of smooth densities of Poisson functionals
• Energy image density property and the lent particle method for Poisson measures
• Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
• The Lent Particle Method for Marked Point Processes
• Dirichlet forms methods for Poisson point measures and Lévy processes. With emphasis on the creation-annihilation techniques
• Application of the lent particle method to Poisson-driven SDEs
• Error calculus and regularity of Poisson functionals: The lent particle method

This page was built for publication: The lent particle method, application to multiple Poisson integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4581150)