Absolute continuity of symmetric Markov processes

Details Absolute continuity of symmetric Markov processes Absolute continuity of symmetric Markov processes

2004-10-05

arxiv.org/abs/math/0410108v1

Annals of Probability 2004, Vol. 32, No. 3A, 2067-2098

Mathematics

Probability

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imsta

Scientific paper

10.1214/009117904000000432

We study Girsanov's theorem in the context of symmetric Markov processes, extending earlier work of Fukushima-Takeda and Fitzsimmons on Girsanov transformations of ``gradient type.'' We investigate the most general Girsanov transformation leading to another symmetric Markov process. This investigation requires an extension of the forward-backward martingale method of Lyons-Zheng, to cover the case of processes with jumps.

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