2006•Probability SurveysOpen access

The realization of positive random variables via absolutely continuous transformations of measure on Wiener space

Denis Feyel, Ali Süleyman Üstünel, Moshe Zakai

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Abstract

Let $\mu$ be a Gaussian measure on some measurable space $\{W = \{w\}, \mathcal{B}(W)\}$ and let $\nu$ be a measure on the same space which is absolutely continuous with respect to $\nu$. The paper surveys results on the problem of constructing a transformation $T$ on the $W$ space such that $Tw = w + u(w)$ where $u$ takes values in the Cameron-Martin space and the image of $\mu$ under $T$ is $\mu$. In addition we ask for the existence of transformations $T$ belonging to some particular classes.

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What this paper is about

Let $\mu$ be a Gaussian measure on some measurable space $\{W = \{w\}, \mathcal{B}(W)\}$ and let $\nu$ be a measure on the same space which is absolutely continuous with respect to $\nu$. The paper surveys results on the problem of constructing a transformation $T$ on the $W$ space such that $Tw = w + u(w)$ where $u$ takes values in the Cameron-Martin space and the image of $\mu$ under $T$ is $\mu$. In addition we ask for the existence of transformations $T$ belonging to some particular classes.

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Available abstract

Let $\mu$ be a Gaussian measure on some measurable space $\{W = \{w\}, \mathcal{B}(W)\}$ and let $\nu$ be a measure on the same space which is absolutely continuous with respect to $\nu$. The paper surveys results on the problem of constructing a transformation $T$ on the $W$ space such that $Tw = w + u(w)$ where $u$ takes values in the Cameron-Martin space and the image of $\mu$ under $T$ is $\mu$. In addition we ask for the existence of transformations $T$ belonging to some particular classes.

Key concepts: Mathematics, Absolute continuity, Measure (data warehouse), Gaussian measure, Space (punctuation), Realization (probability), Polish space, Random measure

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