Drichlet forms for Poisson measures and L\'evy processes : the lent particle method
Probability
2013-01-29 v1
Abstract
We present a new approach to absolute continuity of laws of Poisson functionals. The theoretical framework is that of local Dirichlet forms as a tool to study probability spaces. The method gives rise to a new explicit calculus that we show first on some simple examples : it consists in adding a particle and taking it back after computing the gradient. Then we apply it to SDE's driven by Poisson measure.
Cite
@article{arxiv.1301.6390,
title = {Drichlet forms for Poisson measures and L\'evy processes : the lent particle method},
author = {Nicolas Bouleau and Laurent Denis},
journal= {arXiv preprint arXiv:1301.6390},
year = {2013}
}