Absolute continuity of symmetric Markov processes

By Zhen-Qing Chen, P. Fitzsimmons, M. Takeda, J. Ying, Tusheng Zhang. 2004

60 citations recorded by the source corpus.

We study Girsanov’s theorem in the context of symmetric Markov processes, extending earlier work of Fukushima–Takeda and Fitzsimmons on Girsanov transformations of “gradient type.” We investigate the most general Girsanov transformation leading to another symmetric Markov process. This investigation requires an extension of the forward–backward martingale method of Lyons–Zheng, to cover the case of processes with jumps.

Subfields: Applied Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/c23b376bd695187f70413f7c7f3a4bc4b8b806b9

Citations in the corpus

• Drift transforms and Green function estimates for discontinuous processes (2003, unknown): “The effect of a Girsanov transform on the generator of X in the general case has been investigated in a recent paper [7] by Chen et al. In [12], Cranston and Zhao derived sufficient conditions on the drift function b so that the Green functions and harmonic measures in a bounded Lipschitz domain…”