Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus

Download or read book Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus written by Jörg-Uwe Löbus and published by American Mathematical Soc.. This book was released on 2017-09-25 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: The text is concerned with a class of two-sided stochastic processes of the form . Here is a two-sided Brownian motion with random initial data at time zero and is a function of . Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when is a jump process. Absolute continuity of under time shift of trajectories is investigated. For example under various conditions on the initial density with respect to the Lebesgue measure, , and on with we verify i.e. where the product is taken over all coordinates. Here is the divergence of with respect to the initial position. Crucial for this is the temporal homogeneity of in the sense that , , where is the trajectory taking the constant value . By means of such a density, partial integration relative to a generator type operator of the process is established. Relative compactness of sequences of such processes is established.