Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process
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Contributors
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 language | English |
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Pages (from-to) | 1547-1577 |
Number of pages | 31 |
Journal | Transactions of the American Mathematical Society |
Volume | 369 |
Issue number | 3 |
Publication status | Published - 2017 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Absolute continuity, Additive functionals, Purely discontinuous Girsanov transform, Relative entropy, Singularity, Stable processes