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Absolute continuity under time shift of trajectories and related stochastic calculus /
The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A\equiv A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Providence, Rhode Island :
American Mathematical Society,
2017.
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| Colección: | Memoirs of the American Mathematical Society ;
no. 1185. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A\equiv A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process. Absolute continuity of (X, P) under time shift of trajectories is investigated. For example under various conditions on the initial density with respect to the Lebesgue measure, m, and on A with A_0=0 we verify \frac{P(dX_{\cdot -t})}{P(dX_\cdot)}=\frac{m(X_{-t} |
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| Notas: | "Volume 249, Number 1185 (sixth of 8 numbers), September 2017." |
| Descripción Física: | 1 online resource (v, 135 pages) |
| Bibliografía: | Includes bibliographical references (pages 133-134) and index. |
| ISBN: | 9781470441371 1470441373 |
| ISSN: | 0065-9266 ; |