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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 2, Pages 349–353
DOI: https://doi.org/10.4213/tvp2414 (Mi tvp2414) 		 
This article is cited in 2 scientific papers (total in 2 papers)

Short Communications

An Extension of the Ocone–Haussmann–Clark Formula for the Compensated Poisson Processes

V. Jaoshvili, O. G. Purtukhiya

Tbilisi Ivane Javakhishvili State University
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DOI: https://doi.org/10.4213/tvp2414
Abstract: The Sobolev-type spaces $D_{p,1,\alpha }^{CP}$ ($1\le p\le2$) are defined for the compensated Poisson process, and the stochastic integral representation (analogous to the Ocone–Haussmann–Clark formula) is derived for the functionals from these spaces. The formula is given for the computation of the predictable projections of the stochastic derivatives of the above-mentioned functionals.
Keywords: Ocone–Haussmann–Clark formula, compensated Poisson process, stochastic derivative, predictable projection.
Received: 21.08.2007
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 2, Pages 316–321
DOI: https://doi.org/10.1137/S0040585X97983584
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. Jaoshvili, O. G. Purtukhiya, “An Extension of the Ocone–Haussmann–Clark Formula for the Compensated Poisson Processes”, Teor. Veroyatnost. i Primenen., 53:2 (2008), 349–353; Theory Probab. Appl., 53:2 (2009), 316–321
Citation in format AMSBIB
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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