Girsanov Theorem for Filtered Poisson Processes
概率论
2007-05-23 v1
摘要
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.
引用
@article{arxiv.math/0302046,
title = {Girsanov Theorem for Filtered Poisson Processes},
author = {L. Decreusefond and N. Savy},
journal= {arXiv preprint arXiv:math/0302046},
year = {2007}
}