Absolute continuity of Brownian bridges under certain gauge transformations (Q2428821): Difference between revisions

This paper deals with absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. Let \(\mathbf T\) be a circle and \(C(\mathbf T,\mathbb{C})\) be the space of complex-valued \(2\pi\)-periodic continuous functions on \(\mathbf T\). The main result of this paper is the following. Let \(Z\) be a standard complex Brownian bridge with law P. Let the map \(G:\;C(\mathbf T,\mathbb{C})\to C(\mathbf T,\mathbb{C})\) has the form \(G(Z)(x)=e^{-iJ(Z)(x)}Z(x)\), where \(J:\;C(\mathbf{T},\mathbb{C})\to C(\mathbf{T},\mathbb {R})\) depends only on \(| Z|\) and is such that \({d\over dx}J(Z)(x)=h(| Z|)(x)\) and \(h(| Z|)(x)\) is continuous in \(x\) for P-almost all choices of the process \(| Z|\). If \[ {\operatorname{E}}_{\text{P}}\left[\exp\left(\text{Im}\int_{0}^{2\pi}h(| Z|)(x)Z(x)d\overline{Z}(x)-{1\over 2}\int_{0}^{2\pi}| h(| Z|)(x)|^2| Z(x)|^2dx\right)\right]=1, \] then \(P\circ G^{-1}\) is absolutely continuous with respect to the Brownian bridge \(P\) with Radon-Nikodym derivative \[ \exp\left(\text{Im}\int_{0}^{2\pi}h(| Z|)(x)Z(x)d\overline{Z}(x)-{1\over 2}\int_{0}^{2\pi}| h(| Z|)(x)|^2| Z(x)|^2dx\right). \]