Law equivalence of stochastic linear systems

Beniamin Goldys and Szymon Peszat

Statistics & Probability Letters, 1999, vol. 43, issue 3, 265-274

Abstract: 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.

Keywords: Law; equivalence; Partially; observed; Ornstein-Uhlenbeck; processes; Stochastic; linear; systems; Gaussian; processes; Kalman; filtering (search for similar items in EconPapers)
Date: 1999
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