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Conditional Calculus on Poisson Space and Enlargement of Filtration.
- Source :
-
Stochastic Analysis & Applications . Jan2003, Vol. 21 Issue 1, p183. 22p. - Publication Year :
- 2003
-
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]
- Subjects :
- *POISSON processes
*MALLIAVIN calculus
*FUNCTIONALS
Subjects
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 21
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 9137504
- Full Text :
- https://doi.org/10.1081/SAP-120017538