Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants

DOI10.1007/BF00532238zbMath0569.60038OpenAlexW2023155735MaRDI QIDQ3685760

Albert N. Shiryaev, Jean Mémin

Publication date: 1985

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532238

zbMATH Keywords

Hellinger integralDoléans-Dade exponentialcontiguity of distributionsCriteria of absolute continuity

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Continuity and singularity of induced measures (60G30) Markov processes (60J99)

Related Items (10)

On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations ⋮ Wasserstein and total variation distance between marginals of Lévy processes ⋮ Unnamed Item ⋮ Adaptive testing of multiple hypotheses for stochastic processes ⋮ On the weak convergence of likelihood ratio processes of general statistical parametric models ⋮ Distances and discrimination rates for stochastic processes ⋮ Non-parametric estimation for partially observed transient diffusion processes ⋮ Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps ⋮ An asymptotic sufficiency property of observations related to the first hitting times of a diffusion ⋮ Filtered statistical models and Hellinger processes

Cites Work

• Calcul stochastique et problèmes de martingales
• On equivalence of infinite product measures
• Hellinger integrals of gaussian processes with independent increments
• [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales]
• An elementary proof of the Gaussian dichotomy theorem
• The inner product of path space measures corresponding to random processes with independent increments
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