Girsanov identities for Poisson measures under quasi-nilpotent transformations

DOI10.1214/10-AOP640zbMath1248.60056arXiv1205.5158MaRDI QIDQ428138

Nicolas Privault

Publication date: 19 June 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.5158

zbMATH Keywords

invarianceStirling numbersquasi-invarianceSkorohod integralGirsanov identitiesmoment identitiesPoisson measuresrandom transformations

Mathematics Subject Classification ID

Bell and Stirling numbers (11B73) Measure-preserving transformations (28D05) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Continuity and singularity of induced measures (60G30)

Related Items

Combinatorics of Poisson Stochastic Integrals with Random Integrands, Laplace transform identities for the volume of stopping sets based on Poisson point processes, Mixing of Poisson random measures under interacting transformations

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