Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals (Q2485823)

A diffusion operator \(L_{ab}\) is suitably considered along with the associated martingale problem (which is well-posed). The unique solution to the martingale problem for \(L_{ab}\) is denoted by \(\{P^{a,b}_x\}_{x\in R^d}\), where \(x\) symbolizes the value of the corresponding diffusion process at time \(0\). The authors study mutual absolute continuity, finiteness of the relative entropy and the possibility of their equivalence for probability measures \(P^{a,b}_x\) and \(P^{a,\widehat b}_x\) on \(C([0,+\infty), R^d)\).