Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals.
Privault, Nicolas
Publicacions Matemàtiques, Tome 46 (2002), p. 27-48 / Harvested from Biblioteca Digital de Matemáticas
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We define a class of distributions on Poisson space which allows to iterate a modification of the gradient of [1]. As an application we obtain, with relatively short calculations, a formula for the chaos expansion of functionals of jump times of the Poisson process.

Publié le : 2002-01-01
DMLE-ID : 4058 
@article{urn:eudml:doc:41549,
     title = {Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals.},
     journal = {Publicacions Matem\`atiques},
     volume = {46},
     year = {2002},
     pages = {27-48},
     mrnumber = {MR1904855},
     zbl = {1007.60089},
     language = {en},
     url = {http://dml.mathdoc.fr/item/urn:eudml:doc:41549}
}

Privault, Nicolas. Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals.. Publicacions Matemàtiques, Tome 46 (2002) pp. 27-48. http://gdmltest.u-ga.fr/item/urn:eudml:doc:41549/