Nonlinear Transformations on the Wiener Space
Enchev, Ognian
Ann. Probab., Tome 21 (1993) no. 4, p. 2169-2188 / Harvested from Project Euclid
We study shift transformations on a general abstract Wiener space $(E, H, \mu)$, which have the form: $E \ni \omega \mapsto \mathscr{J}^\phi\omega \equiv \omega - \int^T_0 \phi_t(\omega)Z(dt) \in E,$ where $\phi_t(\omega)$ is a scalar function on $\lbrack 0, T\rbrack \times E$ and $Z$ is an orthogonal $H$-valued measure. Under suitable conditions for the kernel $\phi$, we construct explicitly a probability measure $\mu^\phi$ on $E$, which is equivalent to the standard Wiener measure $\mu$ and has the property: $\mu^\phi\{\mathscr{F}^\phi \in A\} = \mu(A), A \in \mathscr{B}_E$. The main result presents an analog of the well-known Cameron-Martin-Girsanov theorem for the case where the shift is allowed to anticipate. This leads to an additional integral term in the Girsanov exponent. Also, the Wiener-Ito integral in this exponent is now replaced by an extended stochastic integral.
Publié le : 1993-10-14
Classification:  Abstract Wiener spaces,  stochastic integrals with anticipating integrands,  Gohberg-Krein factorization,  absolutely continuous transformations of the Wiener measure,  60B05,  60H05,  60H07,  46G12,  47A53,  47A68
@article{1176989015,
     author = {Enchev, Ognian},
     title = {Nonlinear Transformations on the Wiener Space},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 2169-2188},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989015}
}
Enchev, Ognian. Nonlinear Transformations on the Wiener Space. Ann. Probab., Tome 21 (1993) no. 4, pp.  2169-2188. http://gdmltest.u-ga.fr/item/1176989015/