The Equivalence or Singularity of Stochastic Processes and of the Measures they Induce on L sub 2.
Abstract
It is shown that the proposition: 'Two stochastic processes are equivalent or singular if and only if the measures they induce on a appropriate (L sub 2) space are equivalent or singular respectively,' is not true in general, and sufficient conditions are given for its validity. For a wide class of square integrable martingales it is shown that this proposition is valid and a number of results are obtained which generalize known results for the Wiener process. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1971
- Accession Number
- AD0729649
Entities
People
- Stamatis Cambanis
Organizations
- University of North Carolina at Chapel Hill