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Absolute continuity of Wiener processes |
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| Authors: | David Shale |
| Affiliation: | University of Pennsylvania, Philadelphia, Pennsylvania 19104 U.S.A. |
| Abstract: | By a Wiener process we mean a countably additive random measure taking independent values on disjoint sets. Given two continuous Wiener processes we give their decomposition into weakly equivalent and mutually singular parts. |
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