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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2308.05080 |
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| _version_ | 1866918269636575232 |
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| author | Becherer, Dirk Bernhardt, Thomas Gapeev, Pavel |
| author_facet | Becherer, Dirk Bernhardt, Thomas Gapeev, Pavel |
| contents | We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's characterisation of conditional Poisson processes in terms of local martingales is necessary and sufficient. Additionally, we consider conditions enabling the measure change method a la Girsanov to alter the intensity of Cox processes to a desired new target intensity, e.g. for the probability reference approach in filtering. Such a measure change exists if a corresponding stochastic exponential is a proper martingale. We show that this holds if the new locally integrable target intensity is the product of the original intensity and another non-negative process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_05080 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes Becherer, Dirk Bernhardt, Thomas Gapeev, Pavel Probability We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's characterisation of conditional Poisson processes in terms of local martingales is necessary and sufficient. Additionally, we consider conditions enabling the measure change method a la Girsanov to alter the intensity of Cox processes to a desired new target intensity, e.g. for the probability reference approach in filtering. Such a measure change exists if a corresponding stochastic exponential is a proper martingale. We show that this holds if the new locally integrable target intensity is the product of the original intensity and another non-negative process. |
| title | On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes |
| topic | Probability |
| url | https://arxiv.org/abs/2308.05080 |