Probability structure preserving and absolute continuity

Probability Structure Preserving and Absolute Continuity ✩

– The concept of probability structure preserving mapping is introduced. The idea is applied to define stochastic integral for fractional Brownian motion (fBm) and to obtain an anticipative Girsanov theorem for fBm.  2002 Éditions scientifiques et médicales Elsevier SAS AMS classification: 60H05; 60H07; 60H15; 60B11; 28B20

Absolute Continuity and Singularity of Probability Measures in Functional Spaces

Pointwise Differentiability and Absolute Continuity

This paper is concerned with the relationships between L differentiability and Sobolev functions. It is shown that if / is a Sobolev function with weak derivatives up to order k in L , and 0 s / s k, then / has an L derivative of order / everywhere except for a set which is small in the sense of an appropriate capacity. It is also shown that if a function has an 2V derivative P everywhere excep...

On the Continuity and Absolute Continuity of Credibility Functions ∗

The objective of this paper is to study some new analytical properties of credibility functions. We first discuss the continuity of credibility functions, and establish the sufficient and necessary conditions for the right continuity and left continuity of credibility functions. Furthermore, we study the absolute continuity of credibility functions and obtain some sufficient conditions for the ...

Effectively Absolute Continuity and Effective Jordan Decomposability

Classically, any absolute continuous real function is of bounded variation and hence can always be expressed as a difference of two increasing continuous functions (socalled Jordan decomposition). The effective version of this result is not true. In this paper we give a sufficient and necessary condition for computable real functions which can be expressed as two computable increasing functions...