Literature cited
B. Grigelionis, “Absolute continuity of measures corresponding to random processes,” Litovsk. Matem. Sb.,11, No. 4, 783–794 (1971).
B. Grigelionis, “Stochastic equations of nonlinear filtering of random processes,” Litovsk. Matem. Sb.,12, No. 4 (1972).
M. P. Ershov, “Functionals of random processes defined by stochastic integrals,” Candidate's dissertation, Moscow (1970).
T. Kailath, “The structure of Radon-Nikodym derivatives with respect to Wiener and related measures,” Ann. Math. Statist.,42, No. 3, 1054–1067 (1971).
P. Sh. Liptser and A. N. Shiryaev, “Absolute continuity of measures corresponding to diffusion processes with respect to Wiener's measure,” Izv. Akad. Nauk SSSR, Ser. Mat., 36 (1972).
D. W. Stroock and S. R. S. Varadhan, “Diffusion processes with continuous coefficients, I,” Commun. on Pure and Appl. Math.,22, No. 3, 345–400 (1969).
C. Doléans-Dade, C. Dellacherie, and P. A. Meyer, “Diffusions a coefficients continues (d'apres D. W. Stroock et S. R. S. Varadhan),” Séminaire de Probabilités, Lecture Notes in Math., 124 (1970).
H. Kunita and S. Watanabe, “On square integrable martingales,” Nagoya Math. J.,30, 209–245 (1967).
P. A. Meyer, “Intégrales stochastiques,” Séminaire de Probabilités. I, Lecture Notes in Math.,39 (1967).
B. Grigelionis, “Representation of integer random measures in the form of stochastic integrals with respect to Poisson's measure,” Litovsk. Matem. Sb.,11, No. 1, 93–108 (1971).
N. V. Krylov, “On Ito's stochastic integral equations,” Teor. Veroyatn. i Ee Primen.,14, No. 2, 340–348 (1969).
E. D. Conway, “Stochastic equations with discontinuous drift,” Trans. Amer. Math. Soc., 157, No. 1, 235–245 (1971).
T. Yamada and S. Watanabe, “On the uniqueness of solution of stochastic equations,” J. Math. Kyoto Univ.,2, No. 1, 155–167 (1971).
I. I. Gikhman and A. V. Skorokhod, Stochastic Differential Equations [in Russian], Naukova Dumka, Kiev (1968).
A. V. Skorokhod, Random Processes with Independent Increments [in Russian], Nauka, Moscow (1964).
Author information
Authors and Affiliations
Additional information
Translated from Litovskii Matematicheskii Sbornik, Vol. 13, No. 1, pp. 71–78, January–March, 1973.
Rights and permissions
About this article
Cite this article
Grigelionis, B. Structure of densities of measures corresponding to stochastic processes. Lith Math J 13, 48–52 (1973). https://doi.org/10.1007/BF01540073
Received:
Issue Date:
DOI: https://doi.org/10.1007/BF01540073