Moment formulae for general point processes

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Abstract

The goal of this paper is to generalize most of the moment formulae obtained in [12]. More precisely, we consider a general point process μ, and show that the quantities relevant to our problem are the so-called Papangelou intensities. When the Papangelou intensities of μ are well-defined, we show some general formulae to recover the moment of order n of the stochastic integral of the point process. We will use these extended results to introduce a divergence operator and study a random transformation of the point process.

Original languageEnglish
Pages (from-to)452-476
Number of pages25
JournalJournal of Functional Analysis
Volume267
Issue number2
DOIs
Publication statusPublished - 15 Jul 2014
Externally publishedYes

Keywords

  • Malliavin calculus
  • Measure transformation
  • Point processes
  • Stochastic integral

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