L\'evy systems and moment formulas for mixed Poisson integrals
Probability
2016-06-14 v3
Abstract
We propose Mecke-Palm formulas for multiple integrals with respect to a Poisson random measure interlaced with its intensity measure. We apply such formulas to multiple mixed L\'evy systems of L\'evy processes and obtain moment formulas for products of interlaced multiple Poisson integrals.
Keywords
Cite
@article{arxiv.1411.7952,
title = {L\'evy systems and moment formulas for mixed Poisson integrals},
author = {Krzysztof Bogdan and Jan Rosiński and Grzegorz Serafin and Łukasz Wojciechowski},
journal= {arXiv preprint arXiv:1411.7952},
year = {2016}
}
Comments
added example on p. 24-25