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arXiv · 1411.7688

Absolute Continuity under Time Shift for Ornstein-Uhlenbeck type Processes with Delay or Anticipation

Jörg-Uwe Löbus
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Abstract

The paper is concerned with one-dimensional two-sided Ornstein-Uhlenbeck type processes with delay or anticipation. We prove existence and uniqueness requiring almost sure boundedness on the left half-axis in case of delay and almost sure boundedness on the right half-axis in case of anticipation. For those stochastic processes $(X,P_μ)$ we calculate the Radon-Nikodym density under time shift of trajectories, $P_μ(dX_{\cdot -t})/P_μ(dX)$, $t\in {\Bbb R}$.

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Jörg-Uwe Löbus. 2014-11-27. Absolute Continuity under Time Shift for Ornstein-Uhlenbeck type Processes with Delay or Anticipation. https://arxiv.org/abs/1411.7688

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