The distribution of the likelihood ratio for additive processes

Let {X(t), 0 <= t <= T} and {Y(t), 0 <= t <= T} be two additive processes over the interval [0, T] which, as measures over D[0, T], are absolutely continuous with respect to each other. Let [mu]X and [mu]Y be the measures over D[0, T] determined by the two processes. The characteristic function of ln(d[mu]X/d[mu]Y) with respect to [mu]Y is obtained in terms of the determining parameters of the two processes.

MoreLess

Year of publication:	1978
Authors:	Brockett, Patrick L. ; Hudson, William N. ; Tucker, Howard G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 8.1978, 2, p. 233-243
Publisher:	Elsevier
Keywords:	Stochastic process with independent increments Radon-Nikodym derivative of stochastic processes with independent increments distribution of likelihood ratio of stochastic processes with independent increments

More details

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005199572