Anticipative Markovian transformations on the Poisson space.

DOI10.1016/S0304-4149(01)00103-XzbMath1059.60071MaRDI QIDQ1766004

Florent Nicaise

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculuspoint processesabsolute continuityrandom measures

Mathematics Subject Classification ID

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

Related Items (1)

Martingale Representation of Functionals of Lévy Processes

Cites Work

• Anticipative Girsanov transformations
• Transformation of Wiener measure under anticipative flows
• Anticipative diffusion and related change of measures
• Girsanov theorem for anticipative shifts on Poisson space
• Duality formulas on the Poisson space
• Transformations and anticipative equations for Poisson processes
• Transformations of Wiener integrals under translations
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
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