✦ LIBER ✦

Chaos decomposition of stochastic bilinear equations with drift in the first Poisson–Itô chaos

✍ Scribed by Jorge A. León; Constantin Tudor

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 131 KB
Volume: 48
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(99)00185-6

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✦ Synopsis

In this paper we use the structure of the canonical Poisson space to calculate the explicit form of the chaos decomposition of the solution of a stochastic bilinear equation driven by a compensated Poisson process (deÿned on an arbitrary complete probability space) and with drift in the ÿrst Poisson-Itô chaos.