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Seminar talk by Laurent Decreusefond (Télécom-Paris) (22/06/2022)

"Invertibility on the Poisson space and construction of Hawkes processes"

Abstract 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.