Integration by Parts: Norris Method
In this chapter, we extend the method of analysis introduced in Chapter 11 to a general framework. This method was essentially introduced by Norris to obtain an integration by parts (IBP) formula for jump-driven stochastic differential equations. We focus our study on the directional derivative of the jump measure which respect to the direction of the Girsanov transformation. We first generalize the method in order to consider random variables on Poisson spaces and then show in various examples how the right choice of direction of integration is an important element of this formula.