Lévy systems and moment formulas for mixed Poisson integrals

2014/11/28 by Bogdan, Krzysztof, Rosiński, Jan, Serafin, Grzegorz +1
#60G51 #60G57 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1411.7952

Abstract

We propose Mecke-Palm formulas for multiple integrals with respect to a Poisson random measure interlaced with its intensity measure. We apply such formulas to multiple mixed Lévy systems of Lévy processes and obtain moment formulas for products of interlaced multiple Poisson integrals.

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