Girsanov theorem for anticipative shifts on Poisson space

DOI10.1007/BF01303803zbMath0838.60038MaRDI QIDQ1908539

Nicolas Privault

Publication date: 27 May 1996

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Radon-Nikodym densityabsolute continuity of the image measure of the canonical Poisson probability measure under nonlinear shifts

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Continuity and singularity of induced measures (60G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

A distributional approach to multiple stochastic integrals and transformations of the Poisson measure ⋮ Invariance of Poisson measures under random transformations ⋮ Girsanov identities for Poisson measures under quasi-nilpotent transformations ⋮ A distributional approach to multiple stochastic integrals and transformations of the Poisson measure. II ⋮ Quasi-invariance of Poisson distributions with respect to transformations of configurations ⋮ Anticipative Markovian transformations on the Poisson space. ⋮ On anticipative Girsanov transformations for Lévy processes

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