On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process

DOI10.1007/978-3-0348-0545-2_2zbMath1291.60111OpenAlexW1549547081MaRDI QIDQ5746516

Giulia Di Nunno, Steffen Sjursen

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/40432

zbMATH Keywords

orthogonal polynomialsClark-Ocone formulaCox processmartingale random fieldsMalliavin derivativedoubly stochastic Poisson processnon-anticipating derivative

Mathematics Subject Classification ID

White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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