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

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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

Original languageEnglish
Pages (from-to)1547-1577
Number of pages31
JournalTransactions of the American Mathematical Society
Volume369
Issue number3
Publication statusPublished - 2017
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

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