Integration by Parts for Poisson Processes

Using a perturbation of the rate of a Poisson process and an inverse time change, an integration by parts formula is obtained. This enables a new form of the integrand in a martingale representation result to be obtained.

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Year of publication:	1993
Authors:	Elliott, R. J. ; Tsoi, A. H.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 44.1993, 2, p. 179-190
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005221678