Transformations and anticipative equations for Poisson processes

DOI10.5802/ambp.57zbMath0856.60059OpenAlexW2088315106MaRDI QIDQ1921311

Jean Picard

Publication date: 28 October 1996

Published in: Annales Mathématiques Blaise Pascal (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AMBP_1996__3_1_111_0

zbMATH Keywords

Radon-Nikodým densityanticipative transformation of the Poisson processexistence and uniqueness of a solution for stochastic anticipative equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

A pathwise approach to backward and forward stochastic differential equations on the poisson space^* ⋮ Anticipative Markovian transformations on the Poisson space.

Cites Work

• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Duality formulas on the Poisson space
• Anticipative Girsanov transformations and Skorohod stochastic differential equations
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