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

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)
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References:

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