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Quasi-invariance properties of a class of subordinators

Author

Listed:
  • von Renesse, Max-K.
  • Yor, Marc
  • Zambotti, Lorenzo

Abstract

We study absolute-continuity relationships for 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 quasi-invariance results for gamma and Dirichlet processes.

Suggested Citation

  • von Renesse, Max-K. & Yor, Marc & Zambotti, Lorenzo, 2008. "Quasi-invariance properties of a class of subordinators," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2038-2057, November.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:11:p:2038-2057
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