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arXiv · 2610.40980

Martingale Representation in Counting-Process Filtrations via Poisson Embedding

Caroline Hillairet·Thibaut Mastrolia·Anthony Réveillac
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Abstract

We revisit martingale representation for counting processes using the Poisson embedding, deriving the representation in their natural filtration from that of the underlying Poisson random measure. Our approach combines Poisson Malliavin calculus with the Clark-Ocone and Mecke formulas. We first characterize measurability with respect to the counting-process filtration through the structure of the Malliavin derivative. We show that any random variable measurable in the counting-process filtration is invariant with respect to the auxiliary mark on the acceptance region obtained from the Poisson embedding method and vanishes on the rejection region. We then prove that every square-integrable martingale in this smaller filtration consequently admits a unique stochastic integral representation with respect to the compensated counting process: the integrand is explicitly characterized as the conditional expectation of the Malliavin derivative, which identifies as the conditional effect of an additional accepted event on the terminal functional. Additionally, we define the mirroring counting process which counts the rejected events in the Poisson embedding procedure and we then provide an orthogonal decomposition of any martingale in the joint filtration of the accepted and rejected counting processes as a sum of a martingale in the counting filtration obtained by Poisson embedding and its mirroring martingale part on the rejected domain. Finally, we apply these results to general Hawkes processes constructed by Poisson embedding, obtaining a martingale representation and an explicit integrand formula in their natural filtration.

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Caroline Hillairet, Thibaut Mastrolia, Anthony Réveillac. 2026-10-29. Martingale Representation in Counting-Process Filtrations via Poisson Embedding. https://arxiv.org/abs/2610.40980

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