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Про одне перетворення вінерівського процесу в Rm за допомогою функціоналу типу локального часу на поверхні
The transformation of Wiener's process ξt in ℝm is considered by using the multiplicative functional αt=u(ξt)/u(ξ0), where the function u is similar to a local time type functional on a surface. It is proved that such a transformation is equivalent to a successive application of absolutely cont...
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| Main Author: | |
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| Format: | Article |
| Language: | Ukrainian |
| Published: |
Інститут математики НАН України
1993
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| Series: | Український математичний журнал |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/153129 |
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| Summary: | The transformation of Wiener's process ξt in ℝm is considered by using the multiplicative functional αt=u(ξt)/u(ξ0), where the function u is similar to a local time type functional on a surface. It is proved that such a transformation is equivalent to a successive application of absolutely continuous change of measure and killing on a surface. |
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