A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

Albeverio, Sergio; Smorodina, Nataliya

doi:10.1007/s10440-006-9062-1

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Journal article

A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

csal

Albeverio, Sergio IAM, University of Bonn, D 53115, Bonn, Germany
Smorodina, Nataliya St.-Petersburg State University, St.-Petersburg, Russia

2006

Published in:

Acta Applicandae Mathematica. - Kluwer Academic Publishers. - 2006, vol. 94, no. 1, p. 1-19

English We study a class of ‘nonpoissonian' transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures we find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon-Nikodym derivative. To solve this problem we use a distributional approach to Poisson multiple stochastic integrals

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National Licences: usi

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English

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Mathematics

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Springer Science + Business Media B.V., 2006

Identifiers

RERO DOC 311248
SWISSBIB (NATIONALLICENCE)springer-10.1007/s10440-006-9062-1
DOI 10.1007/s10440-006-9062-1

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https://sonar.ch/global/documents/318672

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