The Clark-Ocone formula for point processes
2019-03-27
Clark-Ocone formulas are powerful results in stochastic analysis with a variety of applications. In the talk we provide the Clark-Ocone formula for square-integrable functionals of point processes with stochastic intensity. Then we present two applications of the formula: the Poincare' inequality and a deviation bound for those functionals. Our results generalize the corresponding ones on the Poisson space.
Clark-Ocone formulas are powerful results in stochastic analysis with a variety of applications. In the talk we provide the Clark-Ocone formula for square-integrable functionals of point processes with stochastic intensity. Then we present two applications of the formula: the Poincare' inequality and a deviation bound for those functionals. Our results generalize the corresponding ones on the Poisson space.
