INTEGRATION BY PARTS FOR POISSON PROCESSES

被引：23

作者：

ELLIOTT, RJ

TSOI, AH

机构：

[1] Department of Statistics and Applied Probability, University of Alberta, Edmonton, AB

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1993年 / 44卷 / 02期

关键词：

POISSON PROCESS; INTEGRATION BY PARTS; TIME CHANGE; MARTINGALE REPRESENTATION;

D O I：

10.1006/jmva.1993.1010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. © 1993 Academic Press, Inc.

引用

页码：179 / 190

页数：12