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<p><i>We consider a transformation of measure for diffusions with discontinuous drift analogous to the Girsanov transformation. It is possible for the drift to extract a discontinuous component as a step function and derive a transformation of measure of the initial diffusion into the measure of diffusion with continuous drift. It is considered an application of the general result to the Ornstein–Uhlenbeck process with discontinuous drift. Bibliography:</i> 4 <i>titles</i>.</p>

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TRANSFORMATION OF MEASURE FOR DIFFUSIONS WITH DISCONTINUOUS DRIFT

  • 期刊论文

  • 发表日期：

    2025年9月1日

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  • A. N. Borodin

摘要

We consider a transformation of measure for diffusions with discontinuous drift analogous to the Girsanov transformation. It is possible for the drift to extract a discontinuous component as a step function and derive a transformation of measure of the initial diffusion into the measure of diffusion with continuous drift. It is considered an application of the general result to the Ornstein–Uhlenbeck process with discontinuous drift. Bibliography: 4 titles.