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

Iddo Ben-Ari and Ross G. Pinsky

Stochastic Processes and their Applications, 2005, vol. 115, issue 2, 179-206

Abstract: 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.

Keywords: Relative; entropy; Absolute; continuity; Girsanov; transformation; Diffusion; processes (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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