Absolute continuity of symmetric Markov processes
概率论
2007-05-23 v1
摘要
We study Girsanov's theorem in the context of symmetric Markov processes, extending earlier work of Fukushima-Takeda and Fitzsimmons on Girsanov transformations of ``gradient type.'' We investigate the most general Girsanov transformation leading to another symmetric Markov process. This investigation requires an extension of the forward-backward martingale method of Lyons-Zheng, to cover the case of processes with jumps.
关键词
引用
@article{arxiv.math/0410108,
title = {Absolute continuity of symmetric Markov processes},
author = {Z. -Q. Chen and P. J. Fitzsimmons and M. Takeda and J. Ying and T. -S. Zhang},
journal= {arXiv preprint arXiv:math/0410108},
year = {2007}
}
备注
Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000432