Law equivalence of stochastic linear systems
A necessary and sufficient condition for the mutual absolute continuity of two linear stochastic systems is given. The problem of the mutual absolute continuity of laws of partially observed Ornstein-Uhlenbeck processes is studied. There are given and proved two theorems and several lemmas relying on constant variation and Itô's formula connected with such systems.
scientific article; zbMATH DE number 1321883