Girsanov Theorem for Filtered Poisson Processes

2003/02/05 by L. Decreusefond, Decreusefond, L., N. Savy +1
Mathematics · #60G55 #60H05 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G55 #msc:60H05

paper · pdf · doi:10.48550/arxiv.math/0302046

arxiv created 2003/02/05 · arxiv updated 2009/11/30

Abstract

Shot-noise and fractional Poisson processes are instances of filtered Poisson processes. We here prove Girsanov theorem for this kind of processes and give an application to an estimate problem.

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