Invertibility on the Poisson space and construction of Hawkes processes 

Speaker : Laurent Decreusefond
Date: 22/06/2022
Time: 3:00 pm - 4:00 pm
Location: Salle 4A301 - TP @Palaiseau


Following previous investigations by Üstünel   about the invertibility of some transformations on the Wiener space, we find some entropic conditions under which a random change of time is invertible on the Poisson space. As a consequence, we provide a new construction of Hawkes processes. We also establish a new variational representation of the entropy.


Laurent Decreusefond is professor of probability and analysis at Telecom Paris since … (well, most of you were not yet born). His research topics are focused around stochastic analysis and its applications, mainly to telecommunications systems.