Quasi-invariance properties of a class of subordinators |
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Authors: | Max-K von Renesse Marc Yor Lorenzo Zambotti |
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Institution: | 1. Institut für Mathematik, TU Berlin, Strasse des 17. Juni 136, 10623 Berlin, Germany;2. Laboratoire de Probabilités et Modèles Aléatoires (CNRS U.M.R. 7599), Université Paris 6–Pierre et Marie Curie, U.F.R. Mathematiques, Case 188, 4 place Jussieu, 75252 Paris cedex 05, France |
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Abstract: | We study absolute-continuity relationships for 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 quasi-invariance results for gamma and Dirichlet processes. |
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Keywords: | 60G51 60G44 |
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