1. Invariance of Poisson measures under random transformations.
- Author
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Privault, Nicolas
- Subjects
- *
POISSON processes , *STOCHASTIC processes , *NUMERICAL analysis , *STOCHASTIC analysis , *PROBABILITY theory - Abstract
We prove that Poisson measures are invariant under (random) intensity preserving transformations whose finite difference gradient satisfies a cyclic vanishing condition. The proof relies on moment identifies of independent interest for adapted and anticipating Poisson stochastic integrals, and is inspired by the method of Ùstünel and Zakai (Probab. Theory Related Fields 103 (1995) 409-429) on the Wiener space, although the corresponding algebra is more complex than in the Wiener case. The examples of application include transformations conditioned by random sets such as the convex hull of a Poisson random measure [ABSTRACT FROM AUTHOR]
- Published
- 2012
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