A note on the invariance under change of measure for stochastic test functions and distribution spaces

Alberto Lanconelli

Statistics & Probability Letters, 2008, vol. 78, issue 18, 3135-3138

Abstract: In this note we prove that the spaces (S), (S)* and , are invariant under a certain class of translations of the underlying Brownian motion. This problem arises naturally in dealing with anticipating stochastic differential equations, in particular when the Girsanov theorem is involved. The proofs are based on a Bayes formula for second-quantization operators that was derived by Lanconelli [Lanconelli, A., 2006a. Bayes' formula for second quantization operators. Stoch. Dyn. 6 (2), 245-253] and on the properties of the translation operators.

Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(08)00281-2
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:stapro:v:78:y:2008:i:18:p:3135-3138

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

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().