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Zapiski Nauchnykh Seminarov POMI, 2022, Volume 515, Pages 72–82
(Mi znsl7255)
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Transformation of measure for diffusions with discontinuous drift
A. N. Borodin St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
Abstract:
We consider transformation of measure for diffusions with discontinuous drift analogous to the Girsanov transformation. For the drift it is possible to extract discontinuous component as a step function and derive the transformation of the measure of initial diffusion to the measure of diffusion with continuous drift. It is considered an application of the general result to the Ornstein–Uhlenbeck process with discontinuous drift.
Key words and phrases:
diffusion with discontinuous drift, transformation of measure, Ornstein–Uhlenbeck process with discontinuous drift.
Received: 11.10.2022
Citation:
A. N. Borodin, “Transformation of measure for diffusions with discontinuous drift”, Probability and statistics. Part 33, Zap. Nauchn. Sem. POMI, 515, POMI, St. Petersburg, 2022, 72–82
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https://www.mathnet.ru/eng/znsl7255 https://www.mathnet.ru/eng/znsl/v515/p72
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Abstract page: | 66 | Full-text PDF : | 25 | References: | 28 |
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