165 research outputs found
Quasi-invariance properties of a class of subordinators
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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