Laplace transform identities and measure-preserving transformations on the Lie–Wiener–Poisson spaces
Given a divergence operator δ on a probability space such that the law of δ(h) is infinitely divisible with characteristic exponent we derive a family of Laplace transform identities for the derivative ∂E[eλδ(u)]/∂λ when u is a non-necessarily adapted process. These expressions are based on intrinsi...
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| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/97911 http://hdl.handle.net/10220/17123 |
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| Institution: | Nanyang Technological University |
| Language: | English |