Absolute Continuity of Symmetric Markov Processes
Z.-Q. Chen, P.J. Fitzsimmons, M. Takeda, J. Ying and T.-S. Zhang
We study Girsanov's theorem in the context of symmetric Markov
processes, extending earlier work of Fukushima-Takeda and Fitzsimmons on
Girsanov transformations of "gradient type".
We investigate the most general Girsanov transformation
leading to another symmetric Markov process. This investigation requires
an extension of the forward-backward martingale method of Lyons-Zheng,
to cover the case of processes with jumps.
A hard copy of this manuscript is available from the
second-named author upon request.
The manuscript can also be downloaded in
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and pdf form (527K).
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June 11, 2002; revised April 11, 2003; re-revised July 25, 2003