Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos

Jorge A. León and Constantin Tudor

Statistics & Probability Letters, 2000, vol. 48, issue 1, 11-22

Abstract: In this paper we use the structure of the canonical Poisson space to calculate the explicit form of the chaos decomposition of the solution of a stochastic bilinear equation driven by a compensated Poisson process (defined on an arbitrary complete probability space) and with drift in the first Poisson-Itô chaos.

Keywords: Canonical; Poisson; space; Poisson-Ito; chaos; decomposition; Poisson; process; Stochastic; bilinear; equations (search for similar items in EconPapers)
Date: 2000
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