On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes

Abstract: We consider Girsanov changes of measures that alter the intensity of point processes in a suitable way, e.g., for the probability reference approach in filtering. Such change of measure exists if a suitably related stochastic exponential involving the intended new target intensity process is a proper martingale. We show that the stochastic exponential is always a martingale when the point process is a Cox process. In doing so, we show how Watanabe's characterisation for conditional Poisson processes in terms of local martingales can be formulated as a necessary and sufficient condition.