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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| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/80116 http://hdl.handle.net/10220/10219 |
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| Institution: | Nanyang Technological University |
| Language: | English |