Girsanov Theorem for Filtered Poisson Processes

Details Girsanov Theorem for Filtered Poisson Processes Girsanov Theorem for Filtered Poisson Processes

2003-02-05

arxiv.org/abs/math/0302046v1

Mathematics

Probability

Scientific paper

Shot-noise and fractional Poisson processes are instances of filtered Poisson
processes. We here prove Girsanov theorem for this kind of processes and give
an application to an estimate problem.

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