Absolute Continuity under Time Shift of Trajectories and Related Stochastic Calculus

DOI10.1090/MEMO/1185MaRDI QIDQ5366977zbMATH OpenOpenAlexFDO

Authors Jörg-Uwe Löbus

Publication date 10 October 2017

Published in Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.6354

zbMATH Keywords

anticipative stochastic calculusBrownian motionjump processesnon-linear transformation of measures

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

Abstract: The paper is concerned with a class of two-sided stochastic processes of the form $X=W+A$. Here $W$ is a two-sided Brownian motion with random initial data at time zero and $AequivA(W)$ is a function of $W$. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when $A$ is a jump process. Absolute continuity of $(X,P_{sbnu})$ under time shift of trajectories is investigated. For example under various conditions on the initial density with respect to the Lebesgue measure, $$, and on $A$ with $A_0=0$ we verify % {eqnarray*} frac{P_{sbnu}(dX_{cdot -t})}{P_{sbnu}(dX_cdot)}=frac{m(X_{-t})} {m(X_0)}cdotprod_i| abla_{W_0}X_{-t}|_i {eqnarray*} % a.e. where the product is taken over all coordinates. Here $su{m}_i(abl{a}_{W_0}{X}_{-t}{)}_i$ is the divergence of $X_{-t}$ with respect to the initial position. Crucial for this is the {it temporal homogeneity} in the sense that $X(W_{cdot+v}+A_{v}1)=X_{cdot+v}(W)$, $vinBbbR$, where $A_{v}1$ is the trajectory taking the constant value $A_v(W)$. By means of such a density, partial integration relative to the generator of the process $X$ is established. Relative compactness of sequences of such processes is established.

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Cited in

(1)

• Absolute continuity in infinite dimensions and anticipating stochastic calculus

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