2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2003
Stochastic Integration with respect to Volterra processes
L. Decreusefond
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respe…
math.PR2003★ 2 cited
Girsanov Theorem for Filtered Poisson Processes
L. Decreusefond, N. Savy
Shot-noise and fractional Poisson processes are instances of filtered Poisson processes. We here prove Girsanov theorem for this kind of processes and give an application to an est…