Quasi-invariance properties of a class of subordinators (Q952739)

Let \(\xi =(\xi_{t})_{t\geq 0}\) be, on a probability space \((\Omega ,{\mathcal F},P)\), with filtration \(({\mathcal F}_{t})\), a \(({\mathcal L})\)-subordinator, i.e. one with \(0\) drift and Lévy measure absolutely continuous with respect to the Lebesgue measure, with density \(g>0\), \(g(x)= g_{0}x^{-1}+\zeta (x)\), \(g_{0}\geq 0\) a constant, \(\int_{_{0}}^{^{1}}|\zeta (x)|dx<\infty\), \(\int_{_{1}}^{\infty }g(x)dx<\infty\). Let \(h:[0,\infty )\times \Omega \times [0,\infty )\rightarrow [0,\infty )\) be \((\xi -predictable)\otimes {\mathcal B}\)-measurable, \(|h(s,x)-h(s,y)|\leq k|x-y|^{\alpha }\) for constants \(k>1\) and \(\alpha \in (0,1)\), \(k^{-1}\leq h\leq k\), \(H(s,x)= \int_{_{0}}^{^{x}}h(s,y)dy\). Let \(\Delta \xi_{s}=\xi_{s}-\xi_{s-}\). The main result proved in the paper is the following: \(\xi^{H}\) defined as \(\xi_{t}^{H}=\sum_{s\leq t}H(s,\Delta \xi_{s})\) has, with respect to a probability \(P^{H}\), the same distribution as \(\xi\), where \(P^{H}|_{_{{\mathcal F}_{t}}}=M_{t}^{H}\cdot P|_{_{{\mathcal F}_{t}}}\), \(M_{t}^{H}\) being the \(P\)-martingale \(exp(g_{0}\int_{_{0}}^{^{t}}logh(s,0)ds)\) multiplied by the product of \(h(s,\Delta \xi_{s})g(H(s,\Delta \xi_{s})) g(\Delta \xi_{s})^{-1}\) over all jumps \(s\leq t\). Applications follow. The first takes \(H(s,x)=K(s,\xi_{s-}+x)-K(s,\xi_{s-})\) with \(K(\cdot ,x)\in C^{1}\), thus \(\xi_{t}^{H}=K(t,\xi_{t})-\int_{_{0}}^{^{t}}K'_{s}(s,\xi_{s})ds\); \((\xi_{s})_{s\leq t}\) follows \(=F_{t}((\xi_{s}^{H})_{s\leq t})\) with \(F_{t}\) measurable on the \(D\)-space. The case when \(H\) does not depend on \(s\) has some interest. The second takes \(H=K\), the third applies the previous two to the ``gamma process \((\gamma_{t})\)'', i.e. to \(g(x)=e^{-x}/x\), the fourth is the second applied to the Dirichlet process \((\gamma_{t}/\gamma_{T})_{t\leq T}\), the fifth shows the existence and uniqueness of the solution of \(dx_{t}=m(t,x_{t})d\xi_{t}\), \(x_{0}=0\), with a measurable \(m\geq 0\) on \((0,\infty )^{2}\), bounded together with \(m^{-1}\) and Lipschitz in the second variable, uniformly in the first. The \(P\)-law of \((x,\xi )\) is the same as the \(P^{H}\) one of \((\xi ,\xi^{H})\), \(H(s,x)= x/m(s,\xi_{s-})\). The paper starts by indications of previous results which follow from its contents.