Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos

In this paper we use the structure of the canonical Poisson space to calculate the explicit form of the chaos decomposition of the solution of a stochastic bilinear equation driven by a compensated Poisson process (defined on an arbitrary complete probability space) and with drift in the first Poisson-Itô chaos.

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Year of publication:	2000
Authors:	León, Jorge A. ; Tudor, Constantin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 48.2000, 1, p. 11-22
Publisher:	Elsevier
Keywords:	Canonical Poisson space Poisson-Ito chaos decomposition Poisson process Stochastic bilinear equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259070