Quasi-invariance properties of a class of subordinators

Details Quasi-invariance properties of a class of subordinators Quasi-invariance properties of a class of subordinators

2007-06-20

arxiv.org/abs/0706.3010v1

Mathematics

Probability

Scientific paper

We study absolute-continuity properties of a class of stochastic processes, including the gamma and the Dirichlet processes. We prove that the laws of a general class of non-linear transformations of such processes are locally equivalent to the law of the original process and we compute explicitly the associated Radon-Nikodym densities. This work unifies and generalizes to random non-linear transformations several previous results on quasi-invariance of gamma and Dirichlet processes.

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