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The change of variables formula on Wiener space

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1655)

Abstract

The transformations of measure induced by a not-necessarily adapted perturbation of the identity is considered. Previous results are reviewed and recent results on absolute continuity and related Radon-Nikodym densities are derived under conditions which are ‘as near as possible’ to the conditions of Federer’s area theorem in the finite dimensional case.

Keywords

  • Variable Formula
  • Gaussian Measure
  • Absolute Continuity
  • Fredholm Determinant
  • Wiener Space

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© 1997 Springer-Verlag Berlin Heidelberg

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Üstünel, A.S., Zakai, M. (1997). The change of variables formula on Wiener space. In: Azéma, J., Yor, M., Emery, M. (eds) Séminaire de Probabilités XXXI. Lecture Notes in Mathematics, vol 1655. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0119289

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  • DOI: https://doi.org/10.1007/BFb0119289

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  • Print ISBN: 978-3-540-62634-3

  • Online ISBN: 978-3-540-68352-0

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