On transformations of Wiener space
Summary: We consider transformations of the form \[ (T_ ax)_ t = x_ t + \int^ t_ 0 a(s,x)ds \] on the space \(C\) of all continuous functions \(x = x_ t : [0,1] \to \mathbb{R}\), \(x_ 0 = 0\), where \(a(s,x)\) is a measurable function \([0,1] \times C \to \mathbb{R}\) which is \(\widetilde {\mathcal C}_ s\)- measurable for a fixed \(s\) and \(\widetilde {\mathcal C}_ s\) is the \(\sigma\)-algebra generated by \(\{x_ u, u \leq t\}\). It is supposed that \(T_ a\) maps the Wiener measure \(\mu_ 0\) on \((C, \widetilde {\mathcal C}_ 1)\) into a measure \(\mu_ a\) which is equivalent with respect to \(\mu_ 0\). We study some conditions of invertibility of such transformations. We also consider stochastic differential equations of the form \[ dy(t) = dw(t) + a \bigl( t,y(t) \bigr) dt, \quad y(0) = 0, \] where \(w(t)\) is a Wiener process. We prove that this equation has a unique strong solution if and only if it has a unique weak solution.
- Nonlinear transformations on the Wiener space
- On Ulam-von Neumann transformations
- Persistence of invertibility in the Wiener space
- Transfer Functions for Pairs of Wandering Subspaces
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- The Wiener transform on the Besicovitch spaces
- Variational calculation of Laplace transforms via entropy on Wiener space and applications
- Transformation of measures in infinite-dimensional spaces by the flow induced by a stochastic differential equation
- Unicité de solutions d'équations différentielles sur l'espace de Wiener
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