On a Cameron–Martin Type Quasi-Invariance Theorem and Applications to Subordinate Brownian Motion

Research output: Contribution to journalResearch articleContributedpeer-review

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 languageEnglish
Pages (from-to)975-993
Number of pages19
JournalStochastic Analysis and Applications
Volume33
Issue number6
Publication statusPublished - 2 Nov 2015
Peer-reviewedYes

Keywords

Keywords

  • Cameron–Martin theorem, Integration by parts formula, Quasi-invariance, Subordinate Brownian motion