Enlargement of filtration on Poisson space: a Malliavin calculus approach

DOI10.1080/17442508.2017.1415340zbMath1498.60190OpenAlexW2781799861MaRDI QIDQ5086442

Sheung Chi Phillip Yam, John A. Wright, Zheng Zhang

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1415340

zbMATH Keywords

Malliavin calculusPoisson processenlargement of filtration

Mathematics Subject Classification ID

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

Cites Work

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