Invertibility of functionals of the Poisson process and applications
Résumé
Following previous investigations by Üstünel [22] about the invertibility of some transformations on the Wiener space, we find some entropic conditions under which a random change of time is invertible on the Poisson space. As a consequence, we provide a new construction of Hawkes processes. We also establish a new variational representation of the entropy.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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