English

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

Probability 2016-08-16 v2

Abstract

Let μ\mu be a Gaussian measure on some measurable space {W={w},B(W)}\{W=\{w\},{\mathcal{B}}(W)\} and let ν\nu be a measure on the same space which is absolutely continuous with respect to ν\nu. The paper surveys results on the problem of constructing a transformation TT on the WW space such that Tw=w+u(w)Tw=w+u(w) where uu takes values in the Cameron-Martin space and the image of μ\mu under TT is μ\mu. In addition we ask for the existence of transformations TT 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)