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Girsanov theorem for anticipative shifts on Poisson space
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  • Published: March 1996

Girsanov theorem for anticipative shifts on Poisson space

  • N. Privault1 

Probability Theory and Related Fields volume 104, pages 61–76 (1996)Cite this article

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Summary

We study the absolute continuity of the image measure of the canonical Poisson probability measure under nonlinear shifts. The Radon-Nykodim density function is expressed using a Carleman-Fredholm determinant and a divergence operator. Results are obtained for non-necessarily invertible transformations, under almost-sure differentiability hypothesis.

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Authors and Affiliations

  1. Equipe d'Analyse et Probabilités, Université d'Evry-Val d'Essonne Boulevard des Coquibus, F-91025, Evry Cedex, France

    N. Privault

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  1. N. Privault
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Privault, N. Girsanov theorem for anticipative shifts on Poisson space. Probab. Th. Rel. Fields 104, 61–76 (1996). https://doi.org/10.1007/BF01303803

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  • Received: 28 December 1994

  • Revised: 19 June 1995

  • Issue Date: March 1996

  • DOI: https://doi.org/10.1007/BF01303803

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Mathematics Subject Classification

  • 60G30
  • 60G55
  • 60H07
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