Integration by Parts for Poisson Processes

R. J. Elliott and A. H. Tsoi

Journal of Multivariate Analysis, 1993, vol. 44, issue 2, 179-190

Abstract: Using a perturbation of the rate of a Poisson process and an inverse time change, an integration by parts formula is obtained. This enables a new form of the integrand in a martingale representation result to be obtained.

Date: 1993
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