Change of Measures for Spectral Stochastic Integrals

Yu-Lin Chou

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arXiv · 2006.05834

Change of Measures for Spectral Stochastic Integrals

Yu-Lin Chou

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Abstract

Under mild conditions, it is possible to obtain, from almost purely measure-theoretic considerations and without any specific reference to stochastic processes, a change-of-measures result, resembling the usual Radon-Nikod\'ym change of measures, associated with a variant of stochastic integration for a spectral representation of covariance stationary processes; the ideas are naturally embedded in the Hilbert space theory of $L^{2}$ spaces. The intended main contribution, including a complete proof of change of measures for spectral stochastic integrals, is the refined, self-contained developments of spectral stochastic integration toward change of measures.

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Yu-Lin Chou. 2020-06-10. Change of Measures for Spectral Stochastic Integrals. https://arxiv.org/abs/2006.05834

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