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Equivalence of measures induced by infinitely divisible processes

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  • Veeh, Jerry Alan

Abstract

We find sufficient conditions for the equivalence of two measures on function space induced by infinitely divisible processes. The processes are not assumed to be stochastically continuous or to have independent increments. The theorem proved here is equivalent to known results in the special case of stochastically continuous processes with independent increments.

Suggested Citation

  • Veeh, Jerry Alan, 1983. "Equivalence of measures induced by infinitely divisible processes," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 138-147, March.
    • Handle: RePEc:eee:jmvana:v:13:y:1983:i:1:p:138-147
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