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Authorisation
On the stochastic derivative of the Poisson functional
Author: Omar PurtukhiaKeywords: Poisson functional, Stochastic (Malliavin) derivative, Clark representation, Clark- Haussmann-Ocone representation.
Annotation:
A new constructive definition of the stochastic derivative of the Poisson polynomial functional is introduced. It is shown that it is equivalent to a general definition based on a chaotic extension of a functional, and its properties are studied.
Lecture files:
On the stochastic derivative of the Poisson functional [en]პუასონის ფუნქციონალის სტოქასტური წარმოებულის შესახებ [ka]