Moment identities for Poisson-Skorohod integrals and application to measure invariance

Nicolas Privault

doi:10.1016/j.crma.2009.07.010

Moment identities for Poisson-Skorohod integrals and application to measure invariance

Nicolas Privault

Department of Mathematics

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

12 Citations (Scopus)

Abstract

We present a moment identity on the Poisson space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral. Applications of this identity are given to the invariance of Poisson measures under intensity preserving random transformations. To cite this article: N. Privault, C. R. Acad. Sci. Paris, Ser. I 347 (2009). © 2009 Académie des sciences.

Original language	English
Pages (from-to)	1071-1074
Journal	Comptes Rendus Mathematique
Volume	347
Issue number	17-18
DOIs	https://doi.org/10.1016/j.crma.2009.07.010
Publication status	Published - Sept 2009

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abstract = "We present a moment identity on the Poisson space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral. Applications of this identity are given to the invariance of Poisson measures under intensity preserving random transformations. To cite this article: N. Privault, C. R. Acad. Sci. Paris, Ser. I 347 (2009). {\textcopyright} 2009 Acad{\'e}mie des sciences.",

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AB - We present a moment identity on the Poisson space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral. Applications of this identity are given to the invariance of Poisson measures under intensity preserving random transformations. To cite this article: N. Privault, C. R. Acad. Sci. Paris, Ser. I 347 (2009). © 2009 Académie des sciences.

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U2 - 10.1016/j.crma.2009.07.010

DO - 10.1016/j.crma.2009.07.010

M3 - RGC 21 - Publication in refereed journal

SN - 1631-073X

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EP - 1074

JO - Comptes Rendus Mathematique

JF - Comptes Rendus Mathematique

IS - 17-18

ER -

Moment identities for Poisson-Skorohod integrals and application to measure invariance

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