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The realization of positive random variables via absolutely continuous transformations of measure on Wiener space

D. Feyel
A.S. Ustunel
M. Zakai, Technion - Israel Institute of Technology


Abstract
Let $mu$ be a Gaussian measure on some measurable space ${W = {w}, calB (W)}$ and let $nu$ be a measure on the same space which is absolutely continuous with respect to $nu$. The paper surveys results on the problem of constructing a transformation $T$ on the $W$ space such that $Tw = w+u(w)$ where $u$ takes values in the Cameron-Martin space and the image of $mu$ under $T$ is $mu$. In addition we ask for the existence of transformations $T$ belonging to some particular classes.

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Feyel, D., Ustunel, A.S., Zakai, M., The realization of positive random variables via absolutely continuous transformations of measure on Wiener space, Probability Surveys, 3, (2006), 170-205 (electronic).

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