Law equivalence of Ornstein-Uhlenbeck processes driven by a Lévy process

DOI10.1016/j.indag.2019.05.003zbMath1479.60093arXiv1803.02655OpenAlexW2963816976WikidataQ107657513 ScholiaQ107657513MaRDI QIDQ2322931

Tomasz Kania, Grzegorz Bartosz

Publication date: 5 September 2019

Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.02655

zbMATH Keywords

Wiener processOrnstein-Uhlenbeck processLévy processGirsanov's theoremSDELévy-Itô decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuity and singularity of induced measures (60G30) Probability theory on linear topological spaces (60B11)

Uses Software

• MathOverflow

Cites Work

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• On the Skorokhod topology
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• Law equivalence of stochastic linear systems
• Equivalence of laws and null controllability for SPDEs driven by a fractional Brownian motion
• Law equivalence of solutions of some linear stochastic equations in Hilbert spaces
• Lévy Processes and Stochastic Calculus
• Equivalence Of Banach Space-Valued Ornstein-Uhlenbeck Processes
• Stochastic Equations in Infinite Dimensions

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