Absolute continuity and singularity of two probability measures on a filtered space
Probability
2011-04-07 v4
Abstract
Let and be fixed probability measures on a filtered space . Denote by and (respectively, and ) the restrictions of the measures and on (respectively, on ) for a stopping time . We find the Hahn decomposition of and using the Hahn decomposition of the measures , , and the Hellinger process in the strict sense of order 1/2. The norm of the absolutely continuous component of with respect to 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