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Absolute continuity of symmetric Markov processes

Z. -Q. Chen·P. J. Fitzsimmons·M. Takeda·J. Ying·T. -S. Zhang
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Abstract

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.

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Z. -Q. Chen, P. J. Fitzsimmons, M. Takeda, J. Ying, T. -S. Zhang. 2004-10-05. Absolute continuity of symmetric Markov processes. https://doi.org/10.1214/009117904000000432

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