The realization of positive random variables via absolutely continuous transformations of measure on Wiener space

DOI10.1214/154957806000000069zbMATH Open1189.60110arXivmath/0511545OpenAlexW1857081329MaRDI QIDQ980754FDOQ980754

Authors: Denis Feyel, A. S. Üstünel, Moshe Zakai 

Publication date: 29 June 2010

Published in: Probability Surveys (Search for Journal in Brave)

Abstract: Let $mu$ be a Gaussian measure on some measurable space $W=w,mathcalB(W)$ and let $u$ be a measure on the same space which is absolutely continuous with respect to $u$. The paper surveys results on the problem of constructing a transformation $T$ on the $W$ space such that $Tw=w+u(w)$ where $u$ takes values in the Cameron-Martin space and the image of $mu$ under $T$ is $mu$. In addition we ask for the existence of transformations $T$ belonging to some particular classes.

Full work available at URL: https://arxiv.org/abs/math/0511545

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Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of functional analysis in probability theory and statistics (46N30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Random operators and equations (aspects of stochastic analysis) (60H25)

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