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Start Over Author "Privault, Nicolas" Search Limiters Peer Reviewed Topic malliavin calculus Journal stochastic analysis & applications
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1. Conditional Calculus on Poisson Space and Enlargement of Filtration.

Author

Mensi, Mounir and Privault, Nicolas

Subjects
*POISSON processes, *MALLIAVIN calculus, *FUNCTIONALS
Abstract

We obtain sufficient conditions for the existence of conditional densities of functionals of the Poisson process, and expressions of these densities via the Malliavin calculus on Poisson space. These results are applied to enlargement of filtrations on Poisson space with explicit examples of computations via the Clark formula which is presented as a consequence of the Itô formula and the martingale property. The gradient operators of stochastic analysis on Poisson space are classified into three families, and each type of gradient is considered separately. [ABSTRACT FROM AUTHOR]

Published
2003
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