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arXiv · 2605.07044

Brownian-time Change of measure

Bobomurod Abdurakhmanov·Hassan Allouba
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Abstract

We prove a fundamental change of measure theorem for the Brownian-time Brownian motion and its associated Brownian-time processes class introduced by Allouba and Zheng in 2001. This result, together with Allouba's prior work on (1) Brownian-time processes and their PDEs/SPDEs links and on (2) change of measure for SPDEs, is a critical building block in analyzing the behaviors of SDEs and SPDEs -- of different types and orders -- driven by Brownian-time noises and their relatives.

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Bobomurod Abdurakhmanov, Hassan Allouba. 2026-05-07. Brownian-time Change of measure. https://arxiv.org/abs/2605.07044

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