Conditions for the Absolute Continuity of Two Diffusions

DOI10.2307/1996922zbMATH Open0303.60071OpenAlexW4250799840MaRDI QIDQ4057902FDOQ4057902

Authors: Steven Orey 

Publication date: 1974

Full work available at URL: https://doi.org/10.2307/1996922

Mathematics Subject Classification ID

Diffusion processes (60J60) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Continuity and singularity of induced measures (60G30)

Cites Work

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• The parabolic differential equations and the associated semigroups of transformation
• Representation of Gaussian processes equivalent to Wiener process
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• On Square Integrable Martingales
• A property of Brownian motion paths
• Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure
• Conditions for absolute continuity between a certain pair of probability measures
• Note on continuous additive functional of the 1-dimensional Brownian path
• The Structure of Radon-Nikodym Derivatives with Respect to Wiener and Related Measures

Cited In (10)

• Stochastic processes in a finite space interval
• Embedding the abstract Wiener space in a probability space
• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
• Singularity of two diffusions on \({\mathcal C}_ \infty\)
• The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance
• Absolute continuity of symmetric Markov processes.
• Transformations of the Brownian motion on a Riemannian symmetric space
• The Girsanov theorem without (so much) stochastic analysis
• Absolute continuity of symmetric diffusions
• On local times of Ornstein-Uhlenbeck processes

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