Law equivalence of stochastic linear systems

Let [mu](Y) and be the laws on of the Gaussian processeswhere K and are entire matrix valued mappings, and W is a Wiener process. We give a necessary and sufficient condition for the mutual absolute continuity of [mu](Y) and . As a special case we study the problem of the mutual absolute continuity of laws of partially observed Ornstein-Uhlenbeck processes.

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Year of publication:	1999
Authors:	Goldys, Beniamin ; Peszat, Szymon
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 43.1999, 3, p. 265-274
Publisher:	Elsevier
Keywords:	Law equivalence Partially observed Ornstein-Uhlenbeck processes Stochastic linear systems Gaussian processes Kalman filtering

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

Persistent link: https://www.econbiz.de/10005211859