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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2024 Volume 535, Pages 58–69 (Mi znsl7486)

Transformation of measure for diffusions with double-break drift

A. N. Borodin

St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences

Abstract: We consider transformation of measure for diffusions with discontinuous drift analogous to the Girsanov transformation. It is essential that we have a double-break drift. It is possible for the drift to extract discontinuous component as a step function and derive the transformation of the measure of initial diffusion to the measure of diffusion with continuous drift.

Key words and phrases: diffusion with double-break drift, transformation of measure.

UDC: 519.2

Received: 17.09.2024



© Steklov Math. Inst. of RAS, 2025