English

Absolute continuity and singularity of two probability measures on a filtered space

Probability 2011-04-07 v4

Abstract

Let μ\mu and ν\nu be fixed probability measures on a filtered space (Ω,F,(Ft)tR+)(\Omega, {\cal F}, ({\cal F}_t)_{t\in {\bf R}^{+}}). Denote by μT\mu_T and νT\nu_T (respectively, μT\mu_{T-} and νT\nu_{T-} ) the restrictions of the measures μ\mu and ν\nu on FT{\cal F}_T (respectively, on FT{\cal F}_{T-} ) for a stopping time TT. We find the Hahn decomposition of μT\mu_T and νT\nu_T using the Hahn decomposition of the measures μ\mu, ν\nu, and the Hellinger process hth_t in the strict sense of order 1/2. The norm of the absolutely continuous component of μT\mu_{T-} with respect to νT\nu_{T-} is computed in terms of density processes and Hellinger integrals.

Keywords

Cite

@article{arxiv.0802.0385,
  title  = {Absolute continuity and singularity of two probability measures on a filtered space},
  author = {S. S. Gabriyelyan},
  journal= {arXiv preprint arXiv:0802.0385},
  year   = {2011}
}

Comments

18 pages, no figures

R2 v1 2026-06-21T10:09:16.141Z