Peter H. Baxendale
Abstract
The solution of a stochastic differential equation is considered as a process taking values in the group of diffeomorphisms of the state space. A classification theorem and a support theorem for such random flows are given. A perturbation argument using the Girsanov theorem yields results about the absolute continuity of measures induced by the random flow.
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The solution of a stochastic differential equation is considered as a process taking values in the group of diffeomorphisms of the state space. A classification theorem and a support theorem for such random flows are given. A perturbation argument using the Girsanov theorem yields results about the absolute continuity of measures induced by the random flow.
Key concepts: Girsanov theorem, Malliavin calculus, Mathematics, Stochastic differential equation, Stochastic calculus, Stochastic process, Argument (complex analysis), Lévy process