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...
Saved in:
| 主要作者: | |
|---|---|
| 其他作者: | |
| 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Nanyang Technological University |
| 語言: | English |