Likelihood ratios and transformation of probability associated with two- parameter Wiener processes (Q4119923)

Let \(\mathbb{R}^2_+\) denote the positive quadrant of the plane, and let \(\{X_t:t\in \mathbb{R}^2_+\}\) be a Wiener process defined on a probability space \((\Omega, \{\mathcal F_t\},\mathcal P_0\). The purpose of this paper is to study the Radon-Nikodym derivative of probability measures which are absolutely continuous with respect to \(\mathcal P_0\) on the sample space of \(X\). Both a martingale representation and an exponential formula for the likelihood ratio are derived.