Let $\tilde{N}\_{t}$ be a standard compensated Poisson process on $[0,1]$. We prove a new characterization of anticipating integrals of the Skorohod type with respect to $\tilde{N}$, and use it to obtain several counterparts to well established properties of semimartingale stochastic integrals. In particular we show that, if the integrand is sufficiently regular, anticipating Skorohod integral processes with respect to $\tilde{N}$ admit a pointwise representation as usual Itô integrals in an independently enlarged filtration. We apply such a result to: (i) characterize Skorohod integral processes in terms of products of backward and forward Poisson martingales, (ii) develop a new Itô-type calculus for anticipating integrals on the Poisson space, and (iii) write Burkholder-type inequalities for Skorohod integrals.
The primary goal of this paper is to prove a near-martingale optional stopping theorem and establish solvability and large deviations for a class of anticipating linear stochastic differential equations. We prove the existence and uniqueness of solutions using two approaches: (1) Ayed-Kuo differential formula using an ansatz, and (2) a novel braiding technique by interpreting the integral in the Skorokhod sense. We establish a Freidlin-Wentzell type large deviations result for solution of such equations.
Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward and backward Brownian martingales. Such a result is a further step towards the connection between the theory of continuous-time (semi)martingales, and that of anticipating stochastic integration. We establish an explicit link between our results and the classic characterization, due to Duc and Nualart (1990), of the chaotic decomposition of Skorohod integra…
Some martingale characterizations of compound mixed Poisson processes are proven, extending S. Watanabe's (1964) martingale characterization of Poisson processes as well as the main result of Lyberopoulos and Macheras (2012), concerning martingale characterizations of mixed Poisson processes.
Stochastic Hall-magnetohydrodynamics equations on ${\mathbb{R}}^{3}$ with random forces expressed in terms of the time homogeneous Poisson random measures are considered. We prove the existence of a global martingale solution. The construction of a solution is based on the Fourier truncation method, stochastic compactness method and a version of the Skorokhod theorem for non-metric spaces adequate for Poisson type random fields.
The solution of Poisson's equation plays a key role in constructing the martingale through which sums of Markov correlated random variables can be analyzed. In this paper, we study two different representations for the solution in countable state space, one based on regenerative structure and the other based on an infinite sum of expectations. We also consider integrability and related uniqueness issues associated with solutions to Poisson's equation, and provide verifiable Lyapunov conditions to support our theory. Our key results include a central limit theorem and law of the iterated logari…
If a given aggregate process $S$ is a compound mixed Poisson process under a probability measure $P$, a characterization of all probability measures $Q$ on the domain of $P$, such that $P$ and $Q$ are progressively equivalent and $S$ remains a compound mixed Poisson process with improved properties, is provided. This result generalizes earlier work of Delbaen & Haezendonck (1989). Implications related to the computation of premium calculation principles in an insurance market possessing the property of no free lunch with vanishing risk are also discussed.
Expansion of Iterated Stochastic Integrals with Respect to Martingale Poisson Measures and with Respect to Martingales Based on Generalized Multiple Fourier Series
We work in the setting of the progressive enlargement $\mathbb G$ of a reference filtration $\mathbb F$ through the observation of a random time $τ$. We study an integral representation property for some classes of $\mathbb G$-martingales stopped at $τ$. In the first part, we focus on the case where $\mathbb F$ is a Poisson filtration and we establish a predictable representation property with respect to three $\mathbb G$-martingales. In the second part, we relax the assumption that $\mathbb F$ is a Poisson filtration and we assume that $τ$ is an $\mathbb F$-pseudo-stopping time. We establish …
We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields, obtaining some other characterizations. The fractional differential equations are studied. We consider a more general Mixed-Fractional Poisson process and show that this process is the stochastic solution of a system of fractional differential-difference equations. Finally, we give some simulations of the Fractional Poisson field on the plane.
A branching Lévy process can be seen as the continuous-time version of a branching random walk. It describes a particle system on the real line in which particles move and reproduce independently in a Poissonian manner. Just as for Lévy processes, the law of a branching Lévy process is determined by its characteristic triplet $(σ^2,a,Λ)$, where the branching Lévy measure $Λ$ describes the intensity of the Poisson point process of births and jumps. We establish a version of Biggins' theorem in this framework, that is we provide necessary and sufficient conditions in terms of the characteristic …
We prove a Girsanov identity on the Poisson space for anticipating transformations that satisfy a strong quasi-nilpotence condition. Applications are given to the Girsanov theorem and to the invariance of Poisson measures under random transformations. The proofs use combinatorial identities for the central moments of Poisson stochastic integrals.
We consider a Poisson process $η$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $λ$ of $η$. We give a Clark-Ocone type formula providing an explicit representation of square integrable martingales (defined with respect to the natural filtration associated with $η$), which was previously known only in the special case, when $λ$ is the product of Lebesgue measure on $\R_+$ and a $σ$-finite measure on another space $\BX$. Our proof is new and based on only a few basic properties of Poisson p…
We construct solutions to the randomly-forced Navier--Stokes--Poisson system in periodic three-dimensional domains or in the whole three-dimensional Euclidean space. These solutions are weak in the sense of PDEs and also weak in the sense of probability. As such, they satisfy the system in the sense of distributions and the underlying probability space and the stochastic driving force are also unknowns of the problem. Additionally, these solutions dissipate energy, satisfies a relative energy inequality in the sense of [4] and satisfy a renormalized form of the continuity equation in the sense…
A characterization of mixed Poisson processes in terms of disintegrations is proven. As a consequence some further characterizations of such processes via claim interarrival processes, martingales and claim measures are obtained. Some revisions are required
We prove maximal inequalities for $L_q$-valued martingales obtained by stochastic integration with respect to compensated random measures. A version of these estimates for integrals with respect to compensated Poisson random measures were first obtained by Dirksen (arXiv:1208:3885) using arguments based on inequalities for sums of independent Banach-space-valued random variables, geometric properties of Banach spaces, and decoupling inequalities. Our proofs are completely different and rely almost exclusively on classical stochastic analysis for real semimartingales.
In this paper, the three-dimensional stochastic nonhomogeneous incompressible Navier-Stokes equations driven by Lévy process consisting of the Brownian motion, the compensated Poisson random measure and the Poisson random measure are considered in a bounded domain. We obtain the existence of martingale solutions. The construction of the solution is based on the classical Galerkin approximation method, stopping time, the compactness method and the Jakubowski-Skorokhod theorem.
This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and martingale polynomials. The construction uses a two-parameter extension of the Al-Salam--Chihara polynomials and a relation between these polynomials for different values of parameters.
In an M-type 2 Banach space, firstly we explore some properties of the set-valued stochastic integral associated with the stationary Poisson point process. By using the Hahn decomposition theorem and bounded linear functional, we obtain the main result: the integral of a set-valued stochastic process with respect to the compensated Poisson measure is a set-valued submartingale but not a martingale unless the integrand degenerates into a single-valued process. Secondly we study the strong solution to the set-valued stochastic integral equation, which includes a set-valued drift, a single-valued…
Martingale solutions of stochastic Navier-Stokes equations in 2D and 3D possibly unbounded domains, driven by the Lévy noise consisting of the compensated time homogeneous Poisson random measure and the Wiener process are considered. Using the classical Faedo-Galerkin approximation and the compactness method we prove existence of a martingale solution. We prove also the compactness and tighness criteria in a certain space contained in some spaces of càdlàg functions, weakly càdlàg functions and some Fréchet spaces. Moreover, we use a version of the Skorokhod Embedding Theorem for nonmetric spa…
We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature. We also develop a Malliavin framework to interpret Poisson stochastic integrals as vector-valued Skorohod integrals, and prove a Clark-Ocone representation formula.
Define the scaled empirical point process on an independent and identically distributed sequence $\{Y_i: i\le n\}$ as the random point measure with masses at $a_n^{-1} Y_i$. For suitable $a_n$ we obtain the weak limit of these point processes through a novel use of a dimension-free method based on the convergence of compensators of multiparameter martingales. The method extends previous results in several directions. We obtain limits at points where the density of $Y_i$ may be zero, but has regular variation. The joint limit of the empirical process evaluated at distinct points is given by ind…
In this article, we introduce fractional Poisson felds of order k in n-dimensional Euclidean space $R_n^+$. We also work on time-fractional Poisson process of order k, space-fractional Poisson process of order k and tempered version of time-space fractional Poisson process of order k in one dimensional Euclidean space $R_1^+$. These processes are defined in terms of fractional compound Poisson processes. Time-fractional Poisson process of order k naturally generalizes the Poisson process and Poisson process of order k to a heavy tailed waiting times counting process. The space-fractional Poiss…
Several stochastic processes related to transient Lévy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of measures $V$ endowed with a metric $d$. Sufficient conditions are obtained for the continuity of these processes on $(V,d)$. The processes include $n$-fold self-intersection local times of transient Lévy processes and permanental chaoses, which are `loop soup $n$-fold self-intersection local times' constructed from the loop soup of the Lévy process. Loop soups are …
In the present work, we consider spectrally positive Lévy processes $(X_t,t\geq0)$ not drifting to $+\infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$) before hitting 0. This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law $\pfl$ of this conditioned process is defined as a Doob $h$-transform via a martingale. For Lévy processes with infinite variation paths, this martingale is $(\int\tilde\rt(\mathrm{d}z)e^{αz}+I_t)\2{t\leq T_0}$ for some $α$ and where $(…
Since the seminal work by Nagel and Weiss, the iteration stable (STIT) tessellations have attracted considerable interest in stochastic geometry as a natural and flexible, yet analytically tractable model for hierarchical spatial cell-splitting and crack-formation processes. We provide in this paper a fundamental link between typical characteristics of STIT tessellations and those of suitable mixtures of Poisson hyperplane tessellations using martingale techniques and general theory of piecewise deterministic Markov processes (PDMPs). As applications, new mean values and new distributional res…
In this paper we prove Burkholder-Davis-Gundy inequalities for a general martingale $M$ with values in a UMD Banach space $X$. Assuming that $M_0=0$, we show that the following two-sided inequality holds for all $1\leq p<\infty$: \begin{align}\label{eq:main}\tag{$\star$} \mathbb E \sup_{0\leq s\leq t} \|M_s\|^p \eqsim_{p, X} \mathbb E γ([\![M]\!]_t)^p ,\;\;\; t\geq 0. \end{align} Here $ γ([\![M]\!]_t) $ is the $L^2$-norm of the unique Gaussian measure on $X$ having $[\![M]\!]_t(x^*,y^*):= [\langle M,x^*\rangle, \langle M,y^*\rangle]_t$ as its covariance bilinear form. This extends to general U…
