Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure

Kailath, Thomas; Zakai, Moshe

Ann. Math. Statist., Tome 42 (1971) no. 6, p. 130-140 / Harvested from Project Euclid

Résumé

We give sufficient conditions for the absolute continuity relative to Wiener measure, $P_w$, of a measure, $P_y$, induced by the sum, $y(t)$, of a Wiener process and a non-anticipating and differentiable "signal" process. When the signal process is a measurable function of $y$, we also give expressions for $dP_y/dP_w$ and $dP_w/dP_y$.

Publié le : 1971-02-14
Classification:

@article{1177693500,
     author = {Kailath, Thomas and Zakai, Moshe},
     title = {Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure},
     journal = {Ann. Math. Statist.},
     volume = {42},
     number = {6},
     year = {1971},
     pages = { 130-140},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177693500}
}

Kailath, Thomas; Zakai, Moshe. Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure. Ann. Math. Statist., Tome 42 (1971) no. 6, pp.  130-140. http://gdmltest.u-ga.fr/item/1177693500/