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 language | English |
|---|---|
| Pages (from-to) | 452-476 |
| Number of pages | 25 |
| Journal | Journal of Functional Analysis |
| Volume | 267 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 15 Jul 2014 |
| Externally published | Yes |
Keywords
- Malliavin calculus
- Measure transformation
- Point processes
- Stochastic integral
Fingerprint
Dive into the research topics of 'Moment formulae for general point processes'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver