On transformations of Wiener space

On transformations of Wiener space

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Article ID: iaor1997299
Country: United States
Volume: 7
Issue: 3
Start Page Number: 239
End Page Number: 246
Publication Date: Jul 1994
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Keywords: Wiener process
Abstract:

The authors consider transformations of the form equ1 on the space C of all continuous functions equ2, where equ3 is a measurable function equ4 which is equ5equ6-measurable for a fixed s and equ7 is the σ -algebra generated by equ8. It is supposed that equ9 maps the Wiener measure equ10 on equ11 into a measure equ12 which is equivalent with respect to equ13. The authors study some conditions of invertibility of such transformations. They also consider stochastic differential equations of the form equ14 where missing1 is a Wiener process. The authors prove that this equation has a unique strong solution if and only if it has a unique weak solution.

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