Absolute continuity of Brownian bridges under certain gauge transformations (Q2428821)

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 \[ \exp\left(\text{Im}\int_{0}^{2\pi}h(| Z|)(x)Z(x)d\overline{Z}(x)-{1\over 2}\int_{0}^{2\pi}| h(| Z|)(x)|^2| Z(x)|^2dx\right). \]