On absolute continuity and singularity of multidimensional diffusions
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Abstract: Consider two laws (P) and (Q) of multidimensional possibly explosive diffusions with common diffusion coefficient (mathfrak{a}) and drift coefficients (mathfrak{b}) and (mathfrak{b} + mathfrak{a} mathfrak{c}), respectively, and the law (P^circ) of an auxiliary diffusion with diffusion coefficient (langle mathfrak{c},mathfrak{a}mathfrak{c}
angle^{-1}mathfrak{a}) and drift coefficient (langle mathfrak{c}, mathfrak{a}mathfrak{c}
angle^{-1}mathfrak{b}). We show that (P ll Q) if and only if the auxiliary diffusion (P^circ) explodes almost surely and that (Pperp Q) if and only if the auxiliary diffusion (P^circ) almost surely does not explode. As applications we derive a Khasminskii-type integral test for absolute continuity and singularity, an integral test for explosion of time-changed Brownian motion, and we discuss applications to mathematical finance.
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Cited in
(6)- Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals
- Singularity of two diffusions on \({\mathcal C}_ \infty\)
- On Absolute Continuity of Feller's One-Dimensional Diffusion Processes
- Separating times for one-dimensional general diffusions
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