Revistes Catalanes amb Accés Obert (RACO)

Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals

N. Privault

Resum


We define a class of distributions on Poisson space which allows to iterate a modification of the gradient of [1]. As an application we obtain, with relatively short calculations, a formula for the chaos expansion of functionals of jump times of the Poisson process.

Text complet: PDF