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

DOI10.1214/154957806000000069MaRDI QIDQ980754zbMATH OpenOpenAlexFDO

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

Publication date 29 June 2010

Published in Probability Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/math/0511545, https://eudml.org/doc/229782

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)

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.

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