Girsanov identities for Poisson measures under quasi-nilpotent transformations

We prove a Girsanov identity on the Poisson space for anticipating transformations that satisfy a strong quasi-nilpotence condition. Applications are given to the Girsanov theorem and to the invariance of Poisson measures under random transformations. The proofs use combinatorial identities for the...

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主要作者: Privault, Nicolas
其他作者: School of Physical and Mathematical Sciences
格式: Article
語言:English
出版: 2013
在線閱讀:https://hdl.handle.net/10356/80116
http://hdl.handle.net/10220/10219
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機構: Nanyang Technological University
語言: English
實物特徵
總結:We prove a Girsanov identity on the Poisson space for anticipating transformations that satisfy a strong quasi-nilpotence condition. Applications are given to the Girsanov theorem and to the invariance of Poisson measures under random transformations. The proofs use combinatorial identities for the central moments of Poisson stochastic integrals.