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Law equivalence of stochastic linear systems

Author

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  • Goldys, Beniamin
  • Peszat, Szymon

Abstract

Let [mu](Y) and be the laws on of the Gaussian processeswhere K and are entire matrix valued mappings, and W is a Wiener process. We give a necessary and sufficient condition for the mutual absolute continuity of [mu](Y) and . As a special case we study the problem of the mutual absolute continuity of laws of partially observed Ornstein-Uhlenbeck processes.

Suggested Citation

  • Goldys, Beniamin & Peszat, Szymon, 1999. "Law equivalence of stochastic linear systems," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 265-274, July.
    • Handle: RePEc:eee:stapro:v:43:y:1999:i:3:p:265-274
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