Quasi-invariance properties of a class of subordinators

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:118

Article

von Renesse, Max-K.²  Yor, Marc¹  Zambotti, Lorenzo¹ 

[1] Univ Paris 06, CNRS, UMR 7599, UFR Math,Lab Probabilites & Modeles Aleatoires, F-75252 Paris 05, France

[2] Tech Univ Berlin, Inst Math, D-10623 Berlin, Germany

关键词: Gamma processes;    Dirichlet processes;    Subordinators;    Quasi-invariance;   

DOI  :  10.1016/j.spa.2007.11.008

来源: Elsevier

【 摘 要 】

We study absolute-continuity relationships for a class of stochastic processes, including the gamma and the Dirichlet processes. We prove that the laws of a general class of non-linear transformations of such processes are locally equivalent to the law of the original process and we compute explicitly the associated Radon-Nikodym densities. This work unifies and generalizes to random non-linear transformations several previous quasi-invariance results for gamma and Dirichlet processes. (C) 2007 Elsevier B.V. All rights reserved.

【 授权许可】

Free