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Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos

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  • León, Jorge A.
  • Tudor, Constantin

Abstract

In this paper we use the structure of the canonical Poisson space to calculate the explicit form of the chaos decomposition of the solution of a stochastic bilinear equation driven by a compensated Poisson process (defined on an arbitrary complete probability space) and with drift in the first Poisson-Itô chaos.

Suggested Citation

  • León, Jorge A. & Tudor, Constantin, 2000. "Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 11-22, May.
    • Handle: RePEc:eee:stapro:v:48:y:2000:i:1:p:11-22
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