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Girsanov Transformations for Non-Symmetric Diffusions

  Published:2009-06-01
 Printed: Jun 2009
  • Chuan-Zhong Chen
  • Wei Sun
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Abstract

Let $X$ be a diffusion process, which is assumed to be associated with a (non-symmetric) strongly local Dirichlet form $(\mathcal{E},\mathcal{D}(\mathcal{E}))$ on $L^2(E;m)$. For $u\in{\mathcal{D}}({\mathcal{E}})_e$, the extended Dirichlet space, we investigate some properties of the Girsanov transformed process $Y$ of $X$. First, let $\widehat{X}$ be the dual process of $X$ and $\widehat{Y}$ the Girsanov transformed process of $\widehat{X}$. We give a necessary and sufficient condition for $(Y,\widehat{Y})$ to be in duality with respect to the measure $e^{2u}m$. We also construct a counterexample, which shows that this condition may not be satisfied and hence $(Y,\widehat{Y})$ may not be dual processes. Then we present a sufficient condition under which $Y$ is associated with a semi-Dirichlet form. Moreover, we give an explicit representation of the semi-Dirichlet form.
Keywords: Diffusion, non-symmetric Dirichlet form, Girsanov transformation, $h$-transformation, perturbation of Dirichlet form, generalized Feynman-Kac semigroup Diffusion, non-symmetric Dirichlet form, Girsanov transformation, $h$-transformation, perturbation of Dirichlet form, generalized Feynman-Kac semigroup
MSC Classifications: 60J45, 31C25, 60J57 show english descriptions Probabilistic potential theory [See also 31Cxx, 31D05]
Dirichlet spaces
Multiplicative functionals
60J45 - Probabilistic potential theory [See also 31Cxx, 31D05]
31C25 - Dirichlet spaces
60J57 - Multiplicative functionals
 

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