Law equivalence of stochastic linear systems
type: Item
instance of: scholarly article
title: Law equivalence of stochastic linear systems
zbMATH Open document ID: 0933.60069
DOI: 10.1016/S0167-7152(98)00266-1
author: B. Goldys
author: Szymon Peszat
published in: Statistics \& Probability Letters
publication date: 2000-04-04T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 1321883
zbMATH Keywords: linear stochastic systems
zbMATH Keywords: Itô's formula
zbMATH Keywords: equivalence in law
reviewed by: Constantin Vârsan
MaRDI profile type: Publication
cites work: Stochastic Equations in Infinite Dimensions
cites work: Q5638871
cites work: Gaussian measures in Banach spaces
cites work: Q4148534
cites work: Q4764556
description: scientific article; zbMATH DE number 1321883