Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals

In this paper we study mutual absolute continuity, finiteness of relative entropy and the possibility of their equivalence for probability measures on C([0,[infinity]);Rd) induced by diffusion processes. We also determine explicit events which distinguish between two mutually singular measures in certain one-dimensional cases.

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Year of publication:	2005
Authors:	Ben-Ari, Iddo ; Pinsky, Ross G.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 2, p. 179-206
Publisher:	Elsevier
Keywords:	Relative entropy Absolute continuity Girsanov transformation Diffusion processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875653