The realization of positive random variables via absolutely continuous transformations of measure on Wiener space
Probability
2016-08-16 v2
Abstract
Let be a Gaussian measure on some measurable space and let be a measure on the same space which is absolutely continuous with respect to . The paper surveys results on the problem of constructing a transformation on the space such that where takes values in the Cameron-Martin space and the image of under is . In addition we ask for the existence of transformations belonging to some particular classes.
Keywords
Cite
@article{arxiv.math/0511545,
title = {The realization of positive random variables via absolutely continuous transformations of measure on Wiener space},
author = {D. Feyel and A. S. Üstünel and M. Zakai},
journal= {arXiv preprint arXiv:math/0511545},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.1214/154957806000000069 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)