Moment identities for Poisson–Skorohod integrals and application to measure invariance

Nicolas Privault

doi:10.1016/j.crma.2009.07.010

Probability Theory

Moment identities for Poisson–Skorohod integrals and application to measure invariance
[Identités de moments pour les intégrales de Poisson–Skorohod et applications à l'invariance en mesure]

Présenté par : Paul Malliavin

Nicolas Privault ¹

¹ Department of Mathematics, City University of Hong Kong, Tat Chee Avenue, Kowloon Tong, Hong Kong

Comptes Rendus. Mathématique, Volume 347 (2009) no. 17-18, pp. 1071-1074.

Résumé
Abstract

Nous présentons une identité de moments sur l'espace de Poisson qui étend l'isométrie de Skorohod à des puissances quelconques de l'intégrale de Skorohod, et nous étudions les applications de cette identité à l'invariance de la mesure de Poisson sous les tranformations aléatoires qui préservent l'intensité.

We present a moment identity on the Poisson space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral. Applications of this identity are given to the invariance of Poisson measures under intensity preserving random transformations.

Reçu le : 2009-05-04
Accepté le : 2009-07-06
Publié le : 2009-08-05

DOI : 10.1016/j.crma.2009.07.010

Affiliations des auteurs :

Nicolas Privault ¹

¹ Department of Mathematics, City University of Hong Kong, Tat Chee Avenue, Kowloon Tong, Hong Kong

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Nicolas Privault. Moment identities for Poisson–Skorohod integrals and application to measure invariance. Comptes Rendus. Mathématique, Volume 347 (2009) no. 17-18, pp. 1071-1074. doi : 10.1016/j.crma.2009.07.010. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2009.07.010/

Bibliographie
Cité par

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Cité par Sources :

^☆ The work described in this paper was substantially supported by a grant from City University of Hong Kong (Project No. 7002312).

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