Abstract:
Let Gaussian measures P1P1 and P2P2 correspond to the solutions of stochastic differential equations Piξ(t)=ξ∗(t), i=1,2,… in bounded domain T⊆Rd, where P1 and P2 are some elliptic operators of order 2l. It is shown that P1 and P2 are equivalent if 2l−q>d/2 where q is the order of P2−P1.
Citation:
S. D. Sokolova, “On the equivalence of Gaussian measures corresponding to the solutions of stochastic differential equations”, Teor. Veroyatnost. i Primenen., 28:2 (1983), 429–433; Theory Probab. Appl., 28:2 (1984), 451–454