Quasi-invariance properties of a class of subordinators

Max-K. von Renesse, Marc Yor and Lorenzo Zambotti

Stochastic Processes and their Applications, 2008, vol. 118, issue 11, 2038-2057

Abstract: 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.

Keywords: Gamma; processes; Dirichlet; processes; Subordinators; Quasi-invariance (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(07)00202-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:118:y:2008:i:11:p:2038-2057

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().