One obtains an analytic condition for the absolute continuity of the Gaussian measures P t f , P t f* , corresponding to stationary processes on the interval [o,t] with spectral densities f and f*.
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Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 142, pp. 160–163, 1985.
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Solev, V.N. A condition for the mutual absolute continuity of Gaussian measures, generated by a stationary process. J Math Sci 36, 546–548 (1987). https://doi.org/10.1007/BF01663469
- Stationary Process
- Spectral Density
- Gaussian Measure
- Absolute Continuity
- Mutual Absolute Continuity