On Changes of Measure for Super Brownian Motion

Robert J. Adler () and Srikanth K. Iyer ()
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Robert J. Adler: Technion
Srikanth K. Iyer: Indian Institute of Technology

Journal of Theoretical Probability, 2001, vol. 14, issue 2, 527-557

Abstract: Abstract Let η be a superprocess under the measure P. We show the existence of probability measures which are absolutely continuous with respect to P, and whose Randon–Nikodym derivatives are suitably normalized functions of the self intersection local time of η. These measures correspond to measure valued processes exhibiting a certain amount of (reinforcing) self interaction in terms of both the particle motion and the branching mechanism.

Keywords: superprocess; change of measure; interactions; intersection local time (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1023/A:1011124000185

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