An Extension of the Ocone–Haussmann–Clark Formula for the Compensated Poisson Processes

DOI10.1137/S0040585X97983584zbMath1196.60102MaRDI QIDQ3556721

No author found.

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

predictable projectionSobolev-type spacecompensated Poisson processstochastic integral representationstochastic derivativeOcone-Haussmann-Clark formula

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation

This page was built for publication: An Extension of the Ocone–Haussmann–Clark Formula for the Compensated Poisson Processes