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Asymptotic equivalence of solutions of linear Itô stochastic systems

✍ Scribed by A. P. Krenevych


Publisher
Springer
Year
2006
Tongue
English
Weight
315 KB
Volume
58
Category
Article
ISSN
0041-5995

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Law equivalence of stochastic linear sys
✍ Beniamin Gołdys; Szymon Peszat 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 117 KB

Let (Y ) and ( Ỹ ) be the laws on C([0; T ]; R d ) of the Gaussian processes where K and K are entire matrix valued mappings, and W is a Wiener process. We give a necessary and su cient condition for the mutual absolute continuity of (Y ) and ( Ỹ ). As a special case we study the problem of the mut