Title of article
Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals
Author/Authors
Ben-Ari، نويسنده , , Iddo and Pinsky، نويسنده , , Ross G.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
28
From page
179
To page
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 , ∞ ) ; R d ) induced by diffusion processes. We also determine explicit events which distinguish between two mutually singular measures in certain one-dimensional cases.
Keywords
Absolute continuity , Diffusion processes , Relative entropy , Girsanov transformation
Journal title
Stochastic Processes and their Applications
Serial Year
2005
Journal title
Stochastic Processes and their Applications
Record number
1577547
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