Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

In this paper we study mutual absolute continuity and singularity of probability measures on the path space which are induced by an isotropic stable Lévy process and the purely discontinuous Girsanov transform of this process. We also look at the problem of finiteness of the relative entropy of these measures. An important tool in the paper is the question under which circumstances the a.s. finiteness of an additive functional at infinity implies the finiteness of its expected value.

Details

OriginalspracheEnglisch
Seiten (von - bis)1547-1577
Seitenumfang31
FachzeitschriftTransactions of the American Mathematical Society
Jahrgang369
Ausgabenummer3
PublikationsstatusVeröffentlicht - 2017
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Absolute continuity, Additive functionals, Purely discontinuous Girsanov transform, Relative entropy, Singularity, Stable processes