Cameron-Martin shifts on infinite Wiener path space

ID: cameron-martin-shifts-on-infinite-wiener-path-space

If with deterministic , the finite-time Cameron-Martin theorem densities have second moments bounded uniformly in time. Their uniformly integrable martingale limit is the strictly positive displayed density, giving equivalence on the full infinite continuous-path space. Finite-time densities alone do not guarantee such a global density: a nonzero constant drift has infinite energy and its infinite-horizon path law is singular, distinguished by the limiting ratio .

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