Open Access
February, 1971 Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure
Thomas Kailath, Moshe Zakai
Ann. Math. Statist. 42(1): 130-140 (February, 1971). DOI: 10.1214/aoms/1177693500

Abstract

We give sufficient conditions for the absolute continuity relative to Wiener measure, $P_w$, of a measure, $P_y$, induced by the sum, $y(t)$, of a Wiener process and a non-anticipating and differentiable "signal" process. When the signal process is a measurable function of $y$, we also give expressions for $dP_y/dP_w$ and $dP_w/dP_y$.

Citation

Download Citation

Thomas Kailath. Moshe Zakai. "Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure." Ann. Math. Statist. 42 (1) 130 - 140, February, 1971. https://doi.org/10.1214/aoms/1177693500

Information

Published: February, 1971
First available in Project Euclid: 27 April 2007

zbMATH: 0226.60061
MathSciNet: MR279887
Digital Object Identifier: 10.1214/aoms/1177693500

Rights: Copyright © 1971 Institute of Mathematical Statistics

Vol.42 • No. 1 • February, 1971
Back to Top