Law equivalence of stochastic linear systems (Q1292780)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Law equivalence of stochastic linear systems |
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Law equivalence of stochastic linear systems (English)
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4 April 2000
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A necessary and sufficient condition for the mutual absolute continuity of two linear stochastic systems is given. The problem of the mutual absolute continuity of laws of partially observed Ornstein-Uhlenbeck processes is studied. There are given and proved two theorems and several lemmas relying on constant variation and Itô's formula connected with such systems.
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linear stochastic systems
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Itô's formula
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equivalence in law
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