Conditions for the Absolute Continuity of Two Diffusions
Open Access
- 1 June 1974
- journal article
- Published by JSTOR in Transactions of the American Mathematical Society
- Vol. 193, 413-426
- https://doi.org/10.2307/1996922
Abstract
Consider two diffusion processes on the line. For each starting point x and each finite time t, consider the measures these processes induce in the space of continuous functions on [0, t]. Necessary and sufficient conditions on the generators are found for the induced measures to be mutually absolutely continuous for each x and t. If the first process is Brownian motion, the second one must be Brownian motion with drift , where is locally in and satisfies a certain growth condition at <!-- MATH $\pm \infty$ --> .
Keywords
This publication has 9 references indexed in Scilit:
- Brownian Motion and DiffusionPublished by Springer Nature ,1983
- The Structure of Radon-Nikodym Derivatives with Respect to Wiener and Related MeasuresThe Annals of Mathematical Statistics, 1971
- Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener MeasureThe Annals of Mathematical Statistics, 1971
- Conditions for absolute continuity between a certain pair of probability measuresProbability Theory and Related Fields, 1970
- On Square Integrable MartingalesNagoya Mathematical Journal, 1967
- Note on continuous additive functional of the 1-dimensional Brownian pathProbability Theory and Related Fields, 1963
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of MeasuresTheory of Probability and Its Applications, 1960
- A property of Brownian motion pathsIllinois Journal of Mathematics, 1958
- The Parabolic Differential Equations and the Associated Semi-Groups of TransformationsAnnals of Mathematics, 1952