On a Cameron–Martin Type Quasi-Invariance Theorem and Applications to Subordinate Brownian Motion
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Contributors
Abstract
We present a Cameron–Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion, and obtain some canonical Dirichlet forms. These findings extend the corresponding classical results for Brownian motion.
Details
| Original language | English |
|---|---|
| Pages (from-to) | 975-993 |
| Number of pages | 19 |
| Journal | Stochastic Analysis and Applications |
| Volume | 33 |
| Issue number | 6 |
| Publication status | Published - 2 Nov 2015 |
| Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Cameron–Martin theorem, Integration by parts formula, Quasi-invariance, Subordinate Brownian motion