The Lent Particle Method, Application to Multiple Poisson Integrals

Nicolas Bouleau (1)

1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique

We give a extensive account of a recent new way of applying the Dirichlet form theory to random Poisson measures. The main application is to obtain existence of density for thelaws of random functionals of Lévy processes or solutions of stochastic differential equations with jumps. As in the Wiener case the Dirichlet form approach weakens significantly theregularity assumptions. The main novelty is an explicit formula for the gradient or for the "carré du champ" on the Poisson space called the lent particle formula because based on adding a new particle to the system, computing the derivative of the functional with respect to this new argument and taking back this particle before applying the Poisson measure. The article is expository in its first part and based on Bouleau-Denis [12] with several new examples, applications to multiple Poisson integrals are gathered in the last part which concerns the relation with the Fock space and some aspects of the second quantization.

Mots clés: carré du champ

Mots clés: Dirichlet form; Poisson random measure; Malliavin calculus; stochastic differential equation; Poisson functional; energy image density; Lévy processes; Lévy measure; gradient; carré du champ.

Domaines: Probabilités [math.PR]

Nicolas Bouleau. The Lent Particle Method, Application to Multiple Poisson Integrals. Bulletin of the Greek Mathematical Society, 2010, 57, pp.47-81. ⟨hal-00473744⟩