ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. II

DOI10.1070/SM1980V036N01ABEH001760zbMATH Open0448.60028OpenAlexW3139105697MaRDI QIDQ3894714FDOQ3894714

R. Liptser, Albert N. Shiryaev, Yuri Kabanov

Publication date: 1980

Published in: Mathematics of the USSR-Sbornik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/sm1980v036n01abeh001760

zbMATH Keywords

singularityabsolute continuitylocally absolutely continuous distributions

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Markov processes (60J99) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Continuous-time Markov processes on discrete state spaces (60J27) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Continuity and singularity of induced measures (60G30)

Cited In (6)

• Equivalence-singularity dichotomy in Markov measures
• Measuring the magnitude of sums of independent random variables
• Information processes for semimartingale experiments
• Asymptotic properties of local densities of measures generated by semimartingales
• Absolute continuity and singularity of two probability measures on a filtered space
• About the absolute continuity and orthogonality for two probability measures.

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