Analyticity of Poisson-driven stochastic systems

Abstract

Let ψ be a functional of the sample path of a stochastic system driven by a Poisson process with rate λ . It is shown in a very general setting that the expectation of ψ, E λ [ψ], is an analytic function of λ under certain moment conditions. Instead of following the straightforward approach of proving that derivatives of arbitrary order exist and that the Taylor series converges to the correct value, a novel approach consisting in a change of measure argument in conjunction with absolute monotonicity is used. Functionals of non-homogeneous Poisson processes and Wiener processes are also considered and applications to light traffic derivatives are briefly discussed.