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Integration by Parts for Poisson Processes

✍ Scribed by R.J. Elliott; A.H. Tsoi

Publisher: Elsevier Science
Year: 1993
Tongue: English
Weight: 279 KB
Volume: 44
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1993.1010

No coin nor oath required. For personal study only.

✦ Synopsis

Using a perturbation of the rate of a Poisson process and an inverse time change, an integration by parts formula is obtained. This enables a new form of the integrand in a martingale representation result to be obtained. '1993 Academic Press, Inc.

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