Quasi-invariance properties of a class of subordinators
We study absolute-continuity relationships for a class of stochastic processes, including the gamma and the Dirichlet processes. We prove that the laws of a general class of non-linear transformations of such processes are locally equivalent to the law of the original process and we compute explicitly the associated Radon-Nikodym densities. This work unifies and generalizes to random non-linear transformations several previous quasi-invariance results for gamma and Dirichlet processes.
Year of publication: |
2008
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Authors: | von Renesse, Max-K. ; Yor, Marc ; Zambotti, Lorenzo |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 11, p. 2038-2057
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Publisher: |
Elsevier |
Keywords: | Gamma processes Dirichlet processes Subordinators Quasi-invariance |
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