Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
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
Originalsprache | Englisch |
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Seiten (von - bis) | 1547-1577 |
Seitenumfang | 31 |
Fachzeitschrift | Transactions of the American Mathematical Society |
Jahrgang | 369 |
Ausgabenummer | 3 |
Publikationsstatus | Veröffentlicht - 2017 |
Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Absolute continuity, Additive functionals, Purely discontinuous Girsanov transform, Relative entropy, Singularity, Stable processes