Integration by Parts for Poisson Process
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R.J. Elliott; A.H. Tsoi
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Article
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1993
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Elsevier Science
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English
β 279 KB
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.