Quasi-invariance for Lévy processes under anticipating shifts
| Nicolas Privault |
| Université de la Rochelle |
| Avenue Michel Crépeau |
| 17042 La Rochelle Cedex 1 |
| France |
Abstract:
We prove a Girsanov theorem for the combination
of a Brownian motion on R+
and a Poisson random measure on R+x
[-1,1]d under random anticipating
transformations of paths and configurations.
The factorization of the density function via Carleman-Freholm
determinants and divergence operators appears as an
extension of the martingale factorization in the adapted jump case.
Key words:
Quasi invariance, Lévy processes, Poisson random measures.
Mathematics Subject Classification:
60B11, 60H07, 60G15, 60G57, 28C20, 46G12.
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