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Preprints, Working Papers, ... Year : 2007

Quasi-invariance properties of a class of subordinators

Abstract

We study absolute-continuity properties of 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 results on quasi-invariance of gamma and Dirichlet processes.
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Dates and versions

hal-00156099 , version 1 (20-06-2007)

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Max-K. von Renesse, Marc Yor, Lorenzo Zambotti. Quasi-invariance properties of a class of subordinators. 2007. ⟨hal-00156099⟩
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