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A note on a result of Liptser-Shiryaev

Given two stochastic equations with different drift terms, under very weak assumptions Liptser and Shiryaev provide the equivalence of the laws of the solutions to these equations by means of Girsanov transform. Their assumptions involve both the drift terms. We are interested in the same result but with the main assumption involving only the difference of the drift terms. Applications of our result will be presented in the finite as well as in the infinite dimensional setting.

preprint2010arXivOpen access
Benedetta Ferrario
math.PR
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Benedetta Ferrario

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