Cameron-Martin theorem for a linear drift Created 2026-09-24 Updated 2026-09-24
For the Cameron-Martin space of Wiener measure path , the Cameron-Martin theorem says that translation of Brownian motion by this linear function changes its law through time by the density
Past exam of the mathematics course of the University of Cambridge 2024 iii Paper 202 5 c iii Solution Created 2026-09-24 Updated 2026-09-25
The assertion is false for a general continuous . For example, take . The Brownian Hölder regularity gives almost surely as , whilealmost surely. The original and translated path laws therefore concentrate on disjoint measurable events and are mutually singular measures.
More generally, the Cameron-Martin theorem gives the exact criterion: translation by is absolutely continuous precisely when is an absolutely continuous function, , and .
Past exam of the mathematics course of the University of Cambridge 2024 iii Paper 202 5 c ii Solution Created 2026-09-24 Updated 2026-09-25
The assertion is true. Since , it lies in the Cameron-Martin space of Wiener measure. The Cameron-Martin theorem says that the translated law is equivalent, and in particular absolutely continuous, with respect to Wiener measure. Its Radon-Nikodym derivative is