Clark–Ocone formula and variational representation for Poisson functionals
Zhang, Xicheng
Ann. Probab., Tome 37 (2009) no. 1, p. 506-529 / Harvested from Project Euclid
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In this paper we first prove a Clark–Ocone formula for any bounded measurable functional on Poisson space. Then using this formula, under some conditions on the intensity measure of Poisson random measure, we prove a variational representation formula for the Laplace transform of bounded Poisson functionals, which has been conjectured by Dupuis and Ellis [A Weak Convergence Approach to the Theory of Large Deviations (1997) Wiley], p. 122.
Publié le : 2009-03-15
Classification:  Clark–Ocone formula,  variational representation,  Poisson functional,  Girsanov theorem,  60H07,  60F10 
@article{1241099920,
     author = {Zhang, Xicheng},
     title = {Clark--Ocone formula and variational representation for Poisson functionals},
     journal = {Ann. Probab.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 506-529},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1241099920}
}

Zhang, Xicheng. Clark–Ocone formula and variational representation for Poisson functionals. Ann. Probab., Tome 37 (2009) no. 1, pp.  506-529. http://gdmltest.u-ga.fr/item/1241099920/