When Does the Ramer Formula Look Like the Girsanov Formula?
Zakai, M. ; Zeitouni, O.
Ann. Probab., Tome 20 (1992) no. 4, p. 1436-1440 / Harvested from Project Euclid
Let $\{B,H,P_0\}$ be an abstract Wiener space and for every real $\rho$, let $T_\rho\omega = \omega + \rho F(\omega)$ be a transformation from $B$ to $B$. It is well known that under certain assumptions the measures induced by $T_\rho$ or $T_\rho^{-1}$ are mutually absolutely continuous with respect to $P_0$ and the density function is represented by the Ramer formula. In this formula, the Carleman-Fredholm determinant $\det_2(I_H + \rho\nabla F)$ appears as a factor. We characterize the class of $\nabla F$ for which a.s.-$P_0, \det_2(I_H + \rho\nabla F) = 1$ for all $\rho$ in an open subset of $\mathbb{R}$, in which case the form of Ramer's expression reduces to the familiar Cameron-Martin-Maruyama-Girsanov form. The proof is based on a characterization of quasinilpotent Hilbert-Schmidt operators.
Publié le : 1992-07-14
Classification:  Girsanov formula,  Ramer formula,  absolute continuity,  quasinilpotent operators,  60G30,  60H07,  47B10
@article{1176989698,
     author = {Zakai, M. and Zeitouni, O.},
     title = {When Does the Ramer Formula Look Like the Girsanov Formula?},
     journal = {Ann. Probab.},
     volume = {20},
     number = {4},
     year = {1992},
     pages = { 1436-1440},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989698}
}
Zakai, M.; Zeitouni, O. When Does the Ramer Formula Look Like the Girsanov Formula?. Ann. Probab., Tome 20 (1992) no. 4, pp.  1436-1440. http://gdmltest.u-ga.fr/item/1176989698/