Girsanov Theorem for Filtered Poisson Processes

L. Decreusefond; N. Savy

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Girsanov Theorem for Filtered Poisson Processes

L. Decreusefond·N. Savy

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Abstract

Shot-noise and fractional Poisson processes are instances of filtered Poisson processes. We here prove Girsanov theorem for this kind of processes and give an application to an estimate problem.

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L. Decreusefond, N. Savy. 2003-02-05. Girsanov Theorem for Filtered Poisson Processes. https://arxiv.org/abs/math/0302046

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