Transformations and anticipative equations for Poisson processes. (Transformations et équations anticipantes pour les processus de Poisson.) (French) Zbl 0856.60059

Picard, Jean

Ann. Math. Blaise Pascal 3, No. 1, 111-123 (1996).

Summary: We prove the existence and uniqueness of a solution for stochastic anticipative equations driven by a point Poisson process. For a particular class of linear equations, the solution may be interpreted as the Radon-Nikodým density of an anticipative transformation of the Poisson process.

MSC:

60H10

Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

existence and uniqueness of a solution for stochastic anticipative equations; Radon-Nikodým density; anticipative transformation of the Poisson process

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